Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Effets Fixes Interactifs× | VARX de panel× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2009 | 2013 |
| Auteur d'origine≠ | Jushan Bai | Canova and Ciccarelli |
| Type≠ | Panel with latent structure | Multi-equation panel model |
| Source fondatrice≠ | Bai, J. (2009). Panel data models with interactive fixed effects. Econometric Reviews, 28(4), 289-312. link ↗ | Canova, F., & Ciccarelli, M. (2013). Panel vector autoregressive models: A survey. Advances in Econometrics, 32, 205-246. DOI ↗ |
| Alias | Factor models with individual heterogeneity | Panel VAR-X |
| Apparentées | 3 | 3 |
| Résumé≠ | Interactive Fixed Effects (IFE) extends standard fixed-effects panel models by allowing unit-specific intercepts to vary not just at the individual level but also with unobserved common time-varying factors. Introduced by Bai (2009), it models heterogeneity as the interaction of individual characteristics and common shocks, ideal for studying cross-sectional variation in how units respond to macro conditions. This framework dominates when common factors drive substantial heterogeneity. | Panel VARX extends vector autoregression to heterogeneous panels with exogenous variables, enabling simultaneous modeling of multiple endogenous variables alongside observed external factors across many units. Introduced by Holtz-Eakin et al. (1988) and advanced by Canova and Ciccarelli (2013), it captures dynamic relationships within units while allowing parameters to vary across units. This framework is essential for macroeconomic panels and understanding cross-unit heterogeneity in responses to common shocks. |
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