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| Időben változó paraméterű paneladat-elemzés× | Fama-MacBeth regresszió× | |
|---|---|---|
| Tudományterület | Ökonometria | Ökonometria |
| Módszercsalád | Regression model | Regression model |
| Keletkezés éve≠ | 1960–2003 | 1973 |
| Megalkotó≠ | Cheng Hsiao (panel treatment); Kalman (state-space foundation) | Eugene Fama and James MacBeth |
| Típus≠ | Dynamic panel model | Cross-sectional regression |
| Alapmű≠ | Hsiao, C. (2003). Analysis of Panel Data (2nd ed.). Cambridge University Press. ISBN: 978-0521522717 | Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636. DOI ↗ |
| Alternatív nevek≠ | TVP panel model, time-varying coefficient panel model, state-space panel regression, random coefficient panel model | Two-step cross-sectional regression |
| Kapcsolódó≠ | 5 | 3 |
| Összefoglaló≠ | Time-varying parameter (TVP) panel data analysis extends standard panel regression by allowing the slope coefficients to evolve over time for each unit. Instead of assuming a single fixed or random coefficient, the model lets each unit's relationship between predictors and outcome shift period by period, capturing structural change, learning effects, and heterogeneous dynamics across individuals and time. | The Fama-MacBeth procedure is a two-step regression methodology for analyzing cross-sectional relationships while controlling for time-series structure. Introduced by Fama and MacBeth (1973), it first estimates time-series parameters for each cross-sectional unit, then regresses outcomes on those parameters across the cross-section, averaging results over time. This approach elegantly separates within-unit dynamics from cross-sectional heterogeneity and provides standard errors robust to panel structure. |
| ScholarGateAdatkészlet ↗ |
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