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| Robust Vektor Autoregression (Robust VAR) Modell× | Panel VAR (Panel Vector Autoregression)× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1980s–2000s | 1988 |
| Upphovsperson≠ | Extensions by Lutkepohl and others building on Sims (1980) VAR framework | Holtz-Eakin, Newey & Rosen |
| Typ≠ | Multivariate time-series model with robust estimation | Panel vector autoregression |
| Ursprungskälla≠ | Goncalves, S., & Kilian, L. (2004). Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Journal of Econometrics, 123(1), 89-120. DOI ↗ | Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI ↗ |
| Alias≠ | robust VAR, outlier-robust VAR, heavy-tailed VAR, RVAR | PVAR, panel vector autoregression, Panel VAR (PVAR) |
| Närliggande≠ | 5 | 3 |
| Sammanfattning≠ | 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. |
| ScholarGateDatamängd ↗ |
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