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| Model panelowy ARMA× | Autoregresja Wektorowa (VAR)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1980s–2000s | 1980 |
| Twórca≠ | Baltagi, Hsiao and related panel data literature | Christopher A. Sims |
| Typ≠ | Panel time series model | Multivariate time-series model |
| Źródło pierwotne≠ | Baltagi, B. H. (2008). Econometric Analysis of Panel Data (4th ed.). John Wiley & Sons. ISBN: 978-0470518861 | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Inne nazwy | Panel ARMA, ARMA panel model, panel autoregressive moving average, cross-sectional ARMA | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Pokrewne | 5 | 5 |
| Podsumowanie≠ | 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. | Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance. |
| ScholarGateZbiór danych ↗ |
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