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| Dynamisches Paneldatenmodell mit strukturellen Brüchen× | Panel Vector Error Correction Model (Panel VECM)× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1991–1998 | 1987–1995 |
| Urheber≠ | Bai & Perron (break detection); Arellano & Bond (dynamic panel GMM) | Engle & Granger (1987) for VECM; Holtz-Eakin, Newey & Rosen (1988) for panel VAR extension |
| Typ≠ | Dynamic panel model with regime change | Multivariate dynamic panel model |
| Wegweisende Quelle≠ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Aliasnamen | dynamic panel with breaks, panel dynamic model structural change, DPDSB, panel dynamic structural break estimator | Panel VECM, panel vector error correction model, PVECM, panel cointegrating VAR |
| Verwandt≠ | 6 | 5 |
| Zusammenfassung≠ | The structural break dynamic panel data model extends the standard dynamic panel framework by allowing regression coefficients or the autoregressive parameter to shift at one or more unknown break dates. It combines GMM-based dynamic panel estimation with formal structural change tests, enabling researchers to study how economic relationships evolve across distinct regimes while controlling for unobserved individual heterogeneity and endogeneity of the lagged dependent variable. | Panel VECM combines vector error correction modelling with panel data, simultaneously capturing the long-run cointegrating equilibrium among multiple I(1) variables and their short-run adjustment dynamics across multiple cross-sectional units. It is the standard framework when panel variables share at least one common stochastic trend. |
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