Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Modèle ARMA de Panel× | Modèle à effets fixes sur données de panel× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1980s–2000s | 1978 |
| Auteur d'origine≠ | Baltagi, Hsiao and related panel data literature | Mundlak (1978); classical treatment in Wooldridge (2010) and Baltagi (2021) |
| Type≠ | Panel time series model | Panel regression estimator |
| Source fondatrice≠ | Baltagi, B. H. (2008). Econometric Analysis of Panel Data (4th ed.). John Wiley & Sons. ISBN: 978-0470518861 | Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd ed.). MIT Press. ISBN: 978-0262232586 |
| Alias | Panel ARMA, ARMA panel model, panel autoregressive moving average, cross-sectional ARMA | within estimator, FE model, within-group estimator, LSDV model |
| Apparentées | 5 | 5 |
| Résumé≠ | The Panel ARMA model extends the classical Autoregressive Moving Average (ARMA) framework to panel data, allowing each cross-sectional unit to carry an individual effect while the within-unit error dynamics follow an ARMA(p, q) process. It captures both autocorrelation and moving-average dependence in panel residuals, yielding efficient estimates when the error structure is correctly specified. | The panel fixed effects (FE) model controls for all time-invariant, unit-specific unobserved heterogeneity by absorbing it into individual intercepts. By sweeping out unit means through the within transformation, FE yields unbiased estimates of the effect of time-varying regressors even when omitted unit-level confounders are correlated with those regressors. |
| ScholarGateJeu de données ↗ |
|
|