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| Panel SVAR (Panel Strukturális Vektorautoregressziós) modell× | Vektorautoregresszió (VAR)× | |
|---|---|---|
| Tudományterület | Ökonometria | Ökonometria |
| Módszercsalád | Regression model | Regression model |
| Keletkezés éve≠ | 2004 (panel extension); 1986 (SVAR origins) | 1980 |
| Megalkotó≠ | Canova & Ciccarelli; Bernanke (SVAR identification) | Christopher A. Sims |
| Típus≠ | Multivariate time-series model with structural identification | Multivariate time-series model |
| Alapmű≠ | Canova, F., & Ciccarelli, M. (2004). Forecasting and turning point predictions in a Bayesian panel VAR model. Journal of Econometrics, 120(2), 327-359. DOI ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Alternatív nevek | Panel SVAR, PSVAR, Structural Panel VAR, Panel Structural VAR | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Kapcsolódó | 5 | 5 |
| Összefoglaló≠ | The Panel SVAR model extends the Structural VAR framework to panel data, jointly modelling multiple endogenous time-series variables across several cross-sectional units (e.g., countries or firms). Structural restrictions — short-run, long-run, or sign restrictions — are imposed on the contemporaneous relationships among variables to identify economically meaningful causal shocks and trace their propagation across units and time. | 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. |
| ScholarGateAdatkészlet ↗ |
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