Confronta i metodi
Esamina i metodi selezionati fianco a fianco; le righe che differiscono sono evidenziate.
| Modello di Autoregressione Vettoriale Strutturale su Dati Panel (Panel SVAR)× | Modello a Correzione d'Errore Vettoriale (VECM)× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 2004 (panel extension); 1986 (SVAR origins) | 1987 |
| Ideatore≠ | Canova & Ciccarelli; Bernanke (SVAR identification) | Robert F. Engle and Clive W. J. Granger |
| Tipo≠ | Multivariate time-series model with structural identification | Multivariate time-series model |
| 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 ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Alias | Panel SVAR, PSVAR, Structural Panel VAR, Panel Structural VAR | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction 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 Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series. |
| ScholarGateInsieme di dati ↗ |
|
|