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| Simulált Áttérés Autoregresszív (STAR) Modell× | Panel Vektor Autoregresszió (Panel VAR)× | |
|---|---|---|
| Tudományterület | Ökonometria | Ökonometria |
| Módszercsalád | Regression model | Regression model |
| Keletkezés éve≠ | 1994 | 1988 |
| Megalkotó≠ | Teräsvirta (1994); van Dijk, Teräsvirta & Franses (2002) | Holtz-Eakin, Newey & Rosen |
| Típus≠ | Nonlinear time-series regime-switching model | Panel vector autoregression |
| Alapmű≠ | Teräsvirta, T. (1994). Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models. Journal of the American Statistical Association, 89(425), 208–218. DOI ↗ | Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI ↗ |
| Alternatív nevek≠ | smooth transition autoregressive model, LSTAR, ESTAR, logistic STAR | PVAR, panel vector autoregression, Panel VAR (PVAR) |
| Kapcsolódó≠ | 4 | 3 |
| Összefoglaló≠ | The Smooth Transition Autoregressive (STAR) model is a nonlinear time-series model, developed in Teräsvirta's 1994 framework, that lets the dynamics move smoothly rather than abruptly between two regimes. The logistic variant (LSTAR) captures asymmetric business cycles and the exponential variant (ESTAR) captures purchasing-power-parity deviations. | 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. |
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