Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Modelo de efectos fijos con parámetros de variación temporal× | Modelo de espacio de estados (Filtro de Kalman)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1975-1995 | 1990 |
| Autor original≠ | Hsiao (1975); Pesaran & Smith (1995) | Harvey; Durbin & Koopman (state space treatment); Kalman filter |
| Tipo≠ | Panel regression with time-varying slopes | State space time series model |
| Fuente seminal≠ | Hsiao, C. (2014). Analysis of Panel Data (3rd ed.). Cambridge University Press. ISBN: 9781107038875 | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. DOI ↗ |
| Alias | TVP-FE model, time-varying coefficients fixed effects, TVP panel model, locally time-varying fixed effects | state space, Kalman filter, unobserved components model, Durum Uzayı Modeli (State Space / Kalman Filter) |
| Relacionados≠ | 2 | 4 |
| Resumen≠ | The time-varying parameter fixed effects (TVP-FE) model extends the classical two-way fixed effects panel regression by allowing one or more slope coefficients to change over time while still controlling for unobserved individual heterogeneity. It is used when the effect of a predictor on an outcome is not constant across the time dimension of a panel dataset. | A state space model is a general time series framework that describes a series through unobserved (latent) state variables linked by a measurement equation and a transition equation, with the states estimated in real time by the Kalman filter. Developed in the state space tradition of Harvey (1990) and Durbin & Koopman (2012), it nests ARIMA and exponential smoothing as special cases. |
| ScholarGateConjunto de datos ↗ |
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