เปรียบเทียบวิธี

	การถดถอยแบบ Fama-MacBeth	แบบจำลอง VAR ที่เสริมด้วยปัจจัยแปรผันตามเวลา
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	1973	2005
ผู้ริเริ่ม	Eugene Fama and James MacBeth	Bernanke, Boivin, and Eliasz
ประเภท	Cross-sectional regression	Time-varying system
แหล่งต้นตำรับ	Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.	Bernanke, B. S., Boivin, J., & Eliasz, P. S. (2005). Measuring monetary policy. Journal of Political Economy, 113(1), 161-208.
ชื่อเรียกอื่น	Two-step cross-sectional regression	Dynamic factor model with time-varying parameters
ที่เกี่ยวข้อง	3	3
สรุป	The Fama-MacBeth procedure is a two-step regression methodology for analyzing cross-sectional relationships while controlling for time-series structure. Introduced by Fama and MacBeth (1973), it first estimates time-series parameters for each cross-sectional unit, then regresses outcomes on those parameters across the cross-section, averaging results over time. This approach elegantly separates within-unit dynamics from cross-sectional heterogeneity and provides standard errors robust to panel structure.	TVP-FAVAR is a hybrid framework combining factor-augmented VARs with time-varying parameter estimation via Kalman filtering. Introduced by Bernanke et al. (2005) and refined by Primiceri (2005), it extracts latent economic factors (e.g., a 'common monetary policy shock') from high-dimensional data while allowing VAR coefficients to evolve stochastically over time. This framework captures both reduced-dimensionality patterns and structural instability, making it ideal for studying evolving policy regimes and shock dynamics.