手法を比較
選択した手法を並べて確認できます。異なる行はハイライト表示されます。
| パネルARMAモデル× | パネル自己回帰 (Panel AR) モデル× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1980s–2000s | 1980s-2000s |
| 提唱者≠ | Baltagi, Hsiao and related panel data literature | Hsiao, C.; Arellano, M. |
| 種類≠ | Panel time series model | Autoregressive time-series model for panel data |
| 原典≠ | Baltagi, B. H. (2008). Econometric Analysis of Panel Data (4th ed.). John Wiley & Sons. ISBN: 978-0470518861 | Hsiao, C. (2003). Analysis of Panel Data (2nd ed.). Cambridge University Press. ISBN: 978-0521522717 |
| 別名 | Panel ARMA, ARMA panel model, panel autoregressive moving average, cross-sectional ARMA | panel autoregressive model, PAR model, AR model for panel data, panel AR(p) |
| 関連 | 5 | 5 |
| 概要≠ | The Panel ARMA model extends the classical Autoregressive Moving Average (ARMA) framework to panel data, allowing each cross-sectional unit to carry an individual effect while the within-unit error dynamics follow an ARMA(p, q) process. It captures both autocorrelation and moving-average dependence in panel residuals, yielding efficient estimates when the error structure is correctly specified. | The Panel AR model extends the classical univariate autoregressive model to panel data, capturing how each unit's own past values predict its current value while controlling for unobserved individual heterogeneity through fixed or random effects. It is foundational for modelling dynamic persistence in micro or macro panel datasets. |
| ScholarGateデータセット ↗ |
|
|