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| 结构断裂动态面板数据模型× | 面板向量误差修正模型 (Panel VECM)× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1991–1998 | 1987–1995 |
| 提出者≠ | Bai & Perron (break detection); Arellano & Bond (dynamic panel GMM) | Engle & Granger (1987) for VECM; Holtz-Eakin, Newey & Rosen (1988) for panel VAR extension |
| 类型≠ | Dynamic panel model with regime change | Multivariate dynamic panel model |
| 开创性文献≠ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| 别名 | dynamic panel with breaks, panel dynamic model structural change, DPDSB, panel dynamic structural break estimator | Panel VECM, panel vector error correction model, PVECM, panel cointegrating VAR |
| 相关≠ | 6 | 5 |
| 摘要≠ | The structural break dynamic panel data model extends the standard dynamic panel framework by allowing regression coefficients or the autoregressive parameter to shift at one or more unknown break dates. It combines GMM-based dynamic panel estimation with formal structural change tests, enabling researchers to study how economic relationships evolve across distinct regimes while controlling for unobserved individual heterogeneity and endogeneity of the lagged dependent variable. | Panel VECM combines vector error correction modelling with panel data, simultaneously capturing the long-run cointegrating equilibrium among multiple I(1) variables and their short-run adjustment dynamics across multiple cross-sectional units. It is the standard framework when panel variables share at least one common stochastic trend. |
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