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| Μοντέλο Εύρωστου Αυτοπαλινδρομικού Διανύσματος (Robust VAR)× | Διανυσματική Αυτοπαλινδρόμηση Πάνελ (Panel VAR)× | Μοντέλο Αυτοπαλινδρόμησης Διανυσμάτων (VAR)× | |
|---|---|---|---|
| Πεδίο | Οικονομετρία | Οικονομετρία | Οικονομετρία |
| Οικογένεια | Regression model | Regression model | Regression model |
| Έτος προέλευσης≠ | 1980s–2000s | 1988 | 2005 |
| Δημιουργός≠ | Extensions by Lutkepohl and others building on Sims (1980) VAR framework | Holtz-Eakin, Newey & Rosen | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Τύπος≠ | Multivariate time-series model with robust estimation | Panel vector autoregression | Multivariate time-series model |
| Θεμελιώδης πηγή≠ | Goncalves, S., & Kilian, L. (2004). Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Journal of Econometrics, 123(1), 89-120. DOI ↗ | Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Εναλλακτικές ονομασίες≠ | robust VAR, outlier-robust VAR, heavy-tailed VAR, RVAR | PVAR, panel vector autoregression, Panel VAR (PVAR) | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Συναφείς≠ | 5 | 3 | 4 |
| Σύνοψη≠ | The Robust VAR model extends the classical Vector Autoregression framework by replacing ordinary least squares estimation with robust estimators — such as M-estimators or median-based methods — to reduce the influence of outliers, structural breaks, and heavy-tailed shocks common in financial and macroeconomic time series. | 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. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
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