方法对比
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| 面板向量自回归模型 (Panel VAR)× | 向量自回归 (VAR) 模型× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1988 | 2005 |
| 提出者≠ | Holtz-Eakin, Newey & Rosen | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| 类型≠ | Panel vector autoregression | Multivariate time-series model |
| 开创性文献≠ | Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| 别名≠ | PVAR, panel vector autoregression, Panel VAR (PVAR) | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| 相关≠ | 3 | 4 |
| 摘要≠ | 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. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
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