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| Panel vektorska autoregresija (Panel VAR)× | Model Vektorske Autoregresije (VAR)× | |
|---|---|---|
| Područje | Ekonometrija | Ekonometrija |
| Obitelj | Regression model | Regression model |
| Godina nastanka≠ | 1988 | 2005 |
| Tvorac≠ | Holtz-Eakin, Newey & Rosen | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Vrsta≠ | Panel vector autoregression | Multivariate time-series model |
| Temeljni izvor≠ | Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Drugi nazivi≠ | PVAR, panel vector autoregression, Panel VAR (PVAR) | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Srodne≠ | 3 | 4 |
| Sažetak≠ | 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. | 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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