Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Локальні проекції× | Threshold Panel VAR (Панельна векторна авторегресія з порогом)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 2005 | 1996 |
| Автор методу≠ | Oscar Jorda | Bruce Hansen and colleagues |
| Тип≠ | Multi-horizon regression | Nonlinear panel model |
| Основоположне джерело≠ | Jorda, O. (2005). Estimation and inference of impulse responses by local projections. American Economic Review, 95(1), 161-182. DOI ↗ | Hansen, B. E. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometric Theory, 12(3), 386-414. DOI ↗ |
| Інші назви≠ | LP-IR, Multi-horizon regression | Panel-VAR with regime switching |
| Пов'язані | 3 | 3 |
| Підсумок≠ | Local Projections (LP) is a semi-parametric method for estimating impulse responses directly via multi-horizon regressions, bypassing VAR-model specification. Introduced by Jorda (2005), it projects outcomes h periods ahead onto current shocks and lags, producing impulse-response functions without assuming a particular lag structure or VAR order. This flexibility has made it the dominant approach in applied macroeconomics for measuring policy effects and shock transmission. | The Threshold Panel VAR extends the standard vector autoregression framework to accommodate regime-switching behavior where relationships change when a threshold variable crosses a critical level. Introduced by Hansen (1996) and applied to panels by Caner and Hansen (2001), it allows different dynamic relationships across regimes (e.g., expansions versus recessions) while exploiting the cross-sectional dimension of panel data. This nonlinear framework captures state-dependent policy effects and economic mechanisms. |
| ScholarGateНабір даних ↗ |
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