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| Modello di Autoregressione Vettoriale Strutturale su Dati Panel (Panel SVAR)× | Modello a Effetti Fissi Panel× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 2004 (panel extension); 1986 (SVAR origins) | 1978 |
| Ideatore≠ | Canova & Ciccarelli; Bernanke (SVAR identification) | Mundlak (1978); classical treatment in Wooldridge (2010) and Baltagi (2021) |
| Tipo≠ | Multivariate time-series model with structural identification | Panel regression estimator |
| Fonte seminale≠ | Canova, F., & Ciccarelli, M. (2004). Forecasting and turning point predictions in a Bayesian panel VAR model. Journal of Econometrics, 120(2), 327-359. DOI ↗ | Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd ed.). MIT Press. ISBN: 978-0262232586 |
| Alias | Panel SVAR, PSVAR, Structural Panel VAR, Panel Structural VAR | within estimator, FE model, within-group estimator, LSDV model |
| Correlati | 5 | 5 |
| Sintesi≠ | 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. | The panel fixed effects (FE) model controls for all time-invariant, unit-specific unobserved heterogeneity by absorbing it into individual intercepts. By sweeping out unit means through the within transformation, FE yields unbiased estimates of the effect of time-varying regressors even when omitted unit-level confounders are correlated with those regressors. |
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