Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| ARFIMA: Murruintegreeritud ARMA mudel× | Paneelvektori autoregressioon (Paneel VAR)× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 1980 | 1988 |
| Looja≠ | Granger & Joyeux (1980); Hosking (1981) | Holtz-Eakin, Newey & Rosen |
| Tüüp≠ | Long-memory time series model | Panel vector autoregression |
| Algallikas≠ | Granger, C. W. J. & Joyeux, R. (1980). An Introduction to Long-Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis, 1(1), 15–29. DOI ↗ | Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI ↗ |
| Rööpnimetused≠ | fractionally integrated ARMA, long-memory time series model, ARFIMA / FIGARCH, fractional differencing model | PVAR, panel vector autoregression, Panel VAR (PVAR) |
| Seotud≠ | 5 | 3 |
| Kokkuvõte≠ | ARFIMA is a time series model that captures long-memory behaviour using a fractional differencing parameter d, generalising the integer differencing of ARIMA. It was introduced by Granger and Joyeux (1980) and formalised by Hosking (1981) to describe series whose autocorrelations decay slowly rather than abruptly. | 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. |
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