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| Panel-Autoregression (Panel-AR) Modell× | Panel-ARMA-Modell× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1980s-2000s | 1980s–2000s |
| Urheber≠ | Hsiao, C.; Arellano, M. | Baltagi, Hsiao and related panel data literature |
| Typ≠ | Autoregressive time-series model for panel data | Panel time series model |
| Wegweisende Quelle≠ | Hsiao, C. (2003). Analysis of Panel Data (2nd ed.). Cambridge University Press. ISBN: 978-0521522717 | Baltagi, B. H. (2008). Econometric Analysis of Panel Data (4th ed.). John Wiley & Sons. ISBN: 978-0470518861 |
| Aliasnamen | panel autoregressive model, PAR model, AR model for panel data, panel AR(p) | Panel ARMA, ARMA panel model, panel autoregressive moving average, cross-sectional ARMA |
| Verwandt | 5 | 5 |
| Zusammenfassung≠ | The Panel AR model extends the classical univariate autoregressive model to panel data, capturing how each unit's own past values predict its current value while controlling for unobserved individual heterogeneity through fixed or random effects. It is foundational for modelling dynamic persistence in micro or macro panel datasets. | The Panel ARMA model extends the classical Autoregressive Moving Average (ARMA) framework to panel data, allowing each cross-sectional unit to carry an individual effect while the within-unit error dynamics follow an ARMA(p, q) process. It captures both autocorrelation and moving-average dependence in panel residuals, yielding efficient estimates when the error structure is correctly specified. |
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