手法を比較

	ロバストベクトル自己回帰（Robust VAR）モデル	パネルベクトル自己回帰（Panel VAR）	分位点VAR
分野	計量経済学	計量経済学	計量経済学
系統	Regression model	Regression model	Regression model
提唱年	1980s–2000s	1988	2006
提唱者	Extensions by Lutkepohl and others building on Sims (1980) VAR framework	Holtz-Eakin, Newey & Rosen	Koenker and Xiao
種類	Multivariate time-series model with robust estimation	Panel vector autoregression	Distribution impulse response
原典	Goncalves, S., & Kilian, L. (2004). Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Journal of Econometrics, 123(1), 89-120.	Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395.	Koenker, R., & Xiao, Z. (2006). Quantile autoregression. Journal of the American Statistical Association, 101(475), 980-990.
別名	robust VAR, outlier-robust VAR, heavy-tailed VAR, RVAR	PVAR, panel vector autoregression, Panel VAR (PVAR)	Quantile-based impulse response
関連	5	3	3
概要	The Robust VAR model extends the classical Vector Autoregression framework by replacing ordinary least squares estimation with robust estimators — such as M-estimators or median-based methods — to reduce the influence of outliers, structural breaks, and heavy-tailed shocks common in financial and macroeconomic time series.	Panel VAR extends the vector autoregression model to panel data, modelling the dynamic interactions among several variables while controlling for cross-unit heterogeneity through fixed effects. It was introduced by Holtz-Eakin, Newey and Rosen in 1988 and produces impulse-response functions and variance decompositions at the panel level.	Quantile VAR estimates impulse responses of multivariate systems conditional on different quantiles of the distribution, revealing how shocks propagate heterogeneously across the conditional distribution. Introduced by Koenker and Xiao (2006) and applied to risk measurement by White et al. (2015), it reveals tail behavior and contagion effects invisible to mean-based VAR analysis. This is essential for risk management and understanding how crises propagate differently than normal times.