Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Панельна векторна авторегресія (Panel VAR)× | Квантильний ВАР (VAR)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1988 | 2006 |
| Автор методу≠ | Holtz-Eakin, Newey & Rosen | Koenker and Xiao |
| Тип≠ | Panel vector autoregression | Distribution impulse response |
| Основоположне джерело≠ | Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI ↗ | Koenker, R., & Xiao, Z. (2006). Quantile autoregression. Journal of the American Statistical Association, 101(475), 980-990. DOI ↗ |
| Інші назви≠ | PVAR, panel vector autoregression, Panel VAR (PVAR) | Quantile-based impulse response |
| Пов'язані | 3 | 3 |
| Підсумок≠ | Panel VAR extends the vector autoregression model to panel data, modelling the dynamic interactions among several variables while controlling for cross-unit heterogeneity through fixed effects. It was introduced by Holtz-Eakin, Newey and Rosen in 1988 and produces impulse-response functions and variance decompositions at the panel level. | Quantile VAR estimates impulse responses of multivariate systems conditional on different quantiles of the distribution, revealing how shocks propagate heterogeneously across the conditional distribution. Introduced by Koenker and Xiao (2006) and applied to risk measurement by White et al. (2015), it reveals tail behavior and contagion effects invisible to mean-based VAR analysis. This is essential for risk management and understanding how crises propagate differently than normal times. |
| ScholarGateНабір даних ↗ |
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