เปรียบเทียบวิธี

	ผลกระทบแบบตรึงเชิงโต้ตอบ	แบบจำลอง VAR ที่เสริมด้วยปัจจัยแปรผันตามเวลา
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	2009	2005
ผู้ริเริ่ม	Jushan Bai	Bernanke, Boivin, and Eliasz
ประเภท	Panel with latent structure	Time-varying system
แหล่งต้นตำรับ	Bai, J. (2009). Panel data models with interactive fixed effects. Econometric Reviews, 28(4), 289-312.	Bernanke, B. S., Boivin, J., & Eliasz, P. S. (2005). Measuring monetary policy. Journal of Political Economy, 113(1), 161-208.
ชื่อเรียกอื่น	Factor models with individual heterogeneity	Dynamic factor model with time-varying parameters
ที่เกี่ยวข้อง	3	3
สรุป	Interactive Fixed Effects (IFE) extends standard fixed-effects panel models by allowing unit-specific intercepts to vary not just at the individual level but also with unobserved common time-varying factors. Introduced by Bai (2009), it models heterogeneity as the interaction of individual characteristics and common shocks, ideal for studying cross-sectional variation in how units respond to macro conditions. This framework dominates when common factors drive substantial heterogeneity.	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.