Regression modelEconometrics / time series
Panel ARMA Model
The Panel ARMA model extends the classical Autoregressive Moving Average (ARMA) framework to panel data, allowing each cross-sectional unit to carry an individual effect while the within-unit error dynamics follow an ARMA(p, q) process. It captures both autocorrelation and moving-average dependence in panel residuals, yielding efficient estimates when the error structure is correctly specified.
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Sources
- Baltagi, B. H. (2008). Econometric Analysis of Panel Data (4th ed.). John Wiley & Sons. ISBN: 978-0470518861
- Hsiao, C. (2003). Analysis of Panel Data (2nd ed.). Cambridge University Press. ISBN: 978-0521522717