Jämför metoder
Granska de valda metoderna sida vid sida; rader som skiljer sig är markerade.
| Panel VAR (Panel Vector Autoregression)× | Strukturell vektorautoregression (SVAR)× | Vektorautoregressionsmodell (VAR)× | |
|---|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model | Regression model |
| Ursprungsår≠ | 1988 | 1980 | 2005 |
| Upphovsperson≠ | Holtz-Eakin, Newey & Rosen | Sims (1980); identification schemes by Blanchard & Quah (1989) | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Typ≠ | Panel vector autoregression | Multivariate time series model | Multivariate time-series model |
| Ursprungskälla≠ | Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI ↗ | Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673. link ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Alias≠ | PVAR, panel vector autoregression, Panel VAR (PVAR) | SVAR, structural vector autoregression, identified VAR, structural VAR model | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Närliggande≠ | 3 | 5 | 4 |
| Sammanfattning≠ | 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. | Structural VAR extends the reduced-form VAR by imposing economic theory-based restrictions that identify orthogonal structural shocks. This allows researchers to disentangle the causal effects of distinct economic disturbances — such as supply versus demand shocks — and trace their dynamic propagation through a system of variables via impulse response functions and forecast error variance decompositions. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
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