Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Paneel-ARIMA mudel× | Vektorautoregressioon (VAR)× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 1970s–2000s | 1980 |
| Looja≠ | Extension of Box-Jenkins ARIMA (Box & Jenkins, 1970) to panel settings; formalised in panel econometrics literature (Hsiao, 2003) | Christopher A. Sims |
| Tüüp≠ | Time-series model applied to panel data | Multivariate time-series model |
| Algallikas≠ | Hsiao, C. (2003). Analysis of Panel Data (2nd ed.). Cambridge University Press. ISBN: 978-0521522717 | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Rööpnimetused | Panel ARIMA, ARIMA for panel data, cross-sectional ARIMA, multi-unit ARIMA | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Seotud | 5 | 5 |
| Kokkuvõte≠ | The Panel ARIMA model extends the classical Box-Jenkins ARIMA framework to panel data, fitting autoregressive integrated moving-average dynamics to multiple cross-sectional units observed over time. It accommodates unit-specific short-run dynamics and non-stationarity, making it suitable for forecasting and dynamic analysis when both cross-sectional and temporal dimensions are present. | Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance. |
| ScholarGateAndmestik ↗ |
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