Порівняння методів

	Інтерактивні фіксовані ефекти	Global VAR
Галузь	Економетрика	Економетрика
Родина	Regression model	Regression model
Рік появи	2009	2004
Автор методу	Jushan Bai	Pesaran, Schuermann, and Weiner
Тип	Panel with latent structure	International system model
Основоположне джерело	Bai, J. (2009). Panel data models with interactive fixed effects. Econometric Reviews, 28(4), 289-312.	Pesaran, M. H., Schuermann, T., & Weiner, S. M. (2004). Modeling regional interdependencies using a global error-correcting macroeconometric model. Journal of Business and Economic Statistics, 22(2), 129-162.
Інші назви	Factor models with individual heterogeneity	GVAR, Multi-country VAR
Пов'язані	3	3
Підсумок	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.	Global VAR (GVAR) is a large-scale macroeconomic modeling framework linking multiple countries (or regions) via trade and financial channels, allowing shocks in one country to propagate through the global system. Introduced by Pesaran et al. (2004), it solves the curse of dimensionality in international VAR models by estimating country-specific VARs conditional on foreign variables, then solving a system linking all countries. This approach is invaluable for analyzing global spillovers and international policy coordination.