Σύγκριση μεθόδων

	Παλινδρόμηση Fama-MacBeth	VAR με Επαυξη Παραγόντων και Χρονομεταβαλλόμενες Παραμέτρους
Πεδίο	Οικονομετρία	Οικονομετρία
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	1973	2005
Δημιουργός	Eugene Fama and James MacBeth	Bernanke, Boivin, and Eliasz
Τύπος	Cross-sectional regression	Time-varying system
Θεμελιώδης πηγή	Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.	Bernanke, B. S., Boivin, J., & Eliasz, P. S. (2005). Measuring monetary policy. Journal of Political Economy, 113(1), 161-208.
Εναλλακτικές ονομασίες	Two-step cross-sectional regression	Dynamic factor model with time-varying parameters
Συναφείς	3	3
Σύνοψη	The Fama-MacBeth procedure is a two-step regression methodology for analyzing cross-sectional relationships while controlling for time-series structure. Introduced by Fama and MacBeth (1973), it first estimates time-series parameters for each cross-sectional unit, then regresses outcomes on those parameters across the cross-section, averaging results over time. This approach elegantly separates within-unit dynamics from cross-sectional heterogeneity and provides standard errors robust to panel structure.	TVP-FAVAR is a hybrid framework combining factor-augmented VARs with time-varying parameter estimation via Kalman filtering. Introduced by Bernanke et al. (2005) and refined by Primiceri (2005), it extracts latent economic factors (e.g., a 'common monetary policy shock') from high-dimensional data while allowing VAR coefficients to evolve stochastically over time. This framework captures both reduced-dimensionality patterns and structural instability, making it ideal for studying evolving policy regimes and shock dynamics.