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| Panel Vector Autoregression (Panel VAR)× | Regresia metódou najmenších štvorcov (OLS)× | |
|---|---|---|
| Odbor | Ekonometria | Ekonometria |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1988 | 2019 |
| Tvorca≠ | Holtz-Eakin, Newey & Rosen | Wooldridge (textbook treatment); classical least squares |
| Typ≠ | Panel vector autoregression | Linear regression |
| Pôvodný zdroj≠ | Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| Ďalšie názvy≠ | PVAR, panel vector autoregression, Panel VAR (PVAR) | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| Príbuzné≠ | 3 | 5 |
| Zhrnutie≠ | 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. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
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