Regression modelEconometrics / time series
Panel ARIMA Model
The Panel ARIMA model extends the classical Box-Jenkins ARIMA framework to panel data, fitting autoregressive integrated moving-average dynamics to multiple cross-sectional units observed over time. It accommodates unit-specific short-run dynamics and non-stationarity, making it suitable for forecasting and dynamic analysis when both cross-sectional and temporal dimensions are present.
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Sources
- Hsiao, C. (2003). Analysis of Panel Data (2nd ed.). Cambridge University Press. ISBN: 978-0521522717
- Box, G. E. P., Jenkins, G. M., Reinsel, G. C., & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021