So sánh phương pháp

	Hồi quy Fama-MacBeth	Mô hình VAR mở rộng nhân tố với tham số biến đổi theo thời gian
Lĩnh vực	Kinh tế lượng	Kinh tế lượng
Họ	Regression model	Regression model
Năm ra đời	1973	2005
Người khởi xướng	Eugene Fama and James MacBeth	Bernanke, Boivin, and Eliasz
Loại	Cross-sectional regression	Time-varying system
Công trình gốc	Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.	Bernanke, B. S., Boivin, J., & Eliasz, P. S. (2005). Measuring monetary policy. Journal of Political Economy, 113(1), 161-208.
Tên gọi khác	Two-step cross-sectional regression	Dynamic factor model with time-varying parameters
Liên quan	3	3
Tóm tắt	The Fama-MacBeth procedure is a two-step regression methodology for analyzing cross-sectional relationships while controlling for time-series structure. Introduced by Fama and MacBeth (1973), it first estimates time-series parameters for each cross-sectional unit, then regresses outcomes on those parameters across the cross-section, averaging results over time. This approach elegantly separates within-unit dynamics from cross-sectional heterogeneity and provides standard errors robust to panel structure.	TVP-FAVAR is a hybrid framework combining factor-augmented VARs with time-varying parameter estimation via Kalman filtering. Introduced by Bernanke et al. (2005) and refined by Primiceri (2005), it extracts latent economic factors (e.g., a 'common monetary policy shock') from high-dimensional data while allowing VAR coefficients to evolve stochastically over time. This framework captures both reduced-dimensionality patterns and structural instability, making it ideal for studying evolving policy regimes and shock dynamics.