השוואת שיטות
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| מודל אוטורגרסיה וקטורית מוגבר-גורמים (FAVAR)× | מודל אוטורגרסיה וקטורית (VAR)× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור | 2005 | 2005 |
| הוגה השיטה≠ | Bernanke, Boivin & Eliasz (2005); building on Stock & Watson diffusion indexes | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| סוג | Multivariate time-series model | Multivariate time-series model |
| מקור מכונן≠ | Bernanke, B. S., Boivin, J. & Eliasz, P. (2005). Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach. The Quarterly Journal of Economics, 120(1), 387-422. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| כינויים≠ | factor-augmented VAR, FAVAR model, Faktör Artırımlı VAR (FAVAR) | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| קשורות | 4 | 4 |
| תקציר≠ | FAVAR is a multivariate time-series model that first compresses information from a very large set of variables into a few common factors, then includes those factors alongside the observed variables in a vector autoregression. It was introduced by Bernanke, Boivin and Eliasz in 2005 to study monetary policy using hundreds of macroeconomic indicators at once. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
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