手法を比較

	パネルスムース・トランジション回帰	Interactive Fixed Effects
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	2005	2009
提唱者	Gonzalez, Terasvirta, and van Dijk	Jushan Bai
種類	Smooth-regime panel model	Panel with latent structure
原典	Gonzalez, A., Terasvirta, T., & van Dijk, D. (2005). Panel smooth transition regression models. Research Paper, Melbourne Institute of Applied Economic and Social Research.	Bai, J. (2009). Panel data models with interactive fixed effects. Econometric Reviews, 28(4), 289-312.
別名	Smooth-transition panel model	Factor models with individual heterogeneity
関連	3	3
概要	Panel Smooth Transition Regression (PSTR) models nonlinear panel relationships where coefficients transition smoothly (rather than abruptly) between regimes as a transition variable crosses thresholds. Introduced by Gonzalez et al. (2005), it extends univariate smooth-transition autoregression (STAR) models to panels, capturing gradual shifts in economic behavior. This approach is realistic when adjustment costs cause smooth (not sudden) regime changes.	Interactive Fixed Effects (IFE) extends standard fixed-effects panel models by allowing unit-specific intercepts to vary not just at the individual level but also with unobserved common time-varying factors. Introduced by Bai (2009), it models heterogeneity as the interaction of individual characteristics and common shocks, ideal for studying cross-sectional variation in how units respond to macro conditions. This framework dominates when common factors drive substantial heterogeneity.