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| Panel Vector Autoregression (Panel VAR)× | Kvantilregression× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1988 | 1978 |
| Ophavsperson≠ | Holtz-Eakin, Newey & Rosen | Koenker & Bassett |
| Type≠ | Panel vector autoregression | Conditional quantile regression |
| Oprindelig kilde≠ | Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI ↗ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ |
| Aliasser | PVAR, panel vector autoregression, Panel VAR (PVAR) | conditional quantile regression, regression quantiles, Kantil Regresyon |
| Relaterede≠ | 3 | 5 |
| Resumé≠ | Panel VAR extends the vector autoregression model to panel data, modelling the dynamic interactions among several variables while controlling for cross-unit heterogeneity through fixed effects. It was introduced by Holtz-Eakin, Newey and Rosen in 1988 and produces impulse-response functions and variance decompositions at the panel level. | Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails. |
| ScholarGateDatasæt ↗ |
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