Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Панельная модель GARCH× | Модель с фиксированными эффектами панели× | |
|---|---|---|
| Область | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1986 (GARCH); panel extension 1990s–2000s | 1978 |
| Автор метода≠ | Bollerslev (1986); extended to panel settings in subsequent literature | Mundlak (1978); classical treatment in Wooldridge (2010) and Baltagi (2021) |
| Тип≠ | Volatility model | Panel regression estimator |
| Основополагающий источник≠ | Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ | Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd ed.). MIT Press. ISBN: 978-0262232586 |
| Другие названия | panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model | within estimator, FE model, within-group estimator, LSDV model |
| Связанные≠ | 6 | 5 |
| Сводка≠ | The Panel GARCH model extends Bollerslev's (1986) Generalized Autoregressive Conditional Heteroscedasticity framework to panel data, allowing conditional variance to evolve over time for each cross-sectional unit. It simultaneously captures unit-level heterogeneity and time-varying volatility clustering, making it the standard tool for modelling risk and uncertainty in multi-entity financial and macroeconomic panels. | The panel fixed effects (FE) model controls for all time-invariant, unit-specific unobserved heterogeneity by absorbing it into individual intercepts. By sweeping out unit means through the within transformation, FE yields unbiased estimates of the effect of time-varying regressors even when omitted unit-level confounders are correlated with those regressors. |
| ScholarGateНабор данных ↗ |
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