Regression modelEconometrics / time series
面板自回归移动平均模型
面板自回归移动平均（Panel ARMA）模型将经典的自回归移动平均（ARMA）框架扩展到面板数据，允许每个截面单位具有个体效应，同时单位内部的误差动态遵循ARMA(p, q)过程。它同时捕捉面板残差中的自相关和移动平均依赖性，在误差结构被正确指定时能产生有效的估计。
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来源
- Baltagi, B. H. (2008). Econometric Analysis of Panel Data (4th ed.). John Wiley & Sons. ISBN: 978-0470518861
- Hsiao, C. (2003). Analysis of Panel Data (2nd ed.). Cambridge University Press. ISBN: 978-0521522717
如何引用本页
ScholarGate. (2026, June 3). Panel Autoregressive Moving Average Model. ScholarGate. https://scholargate.app/zh/econometrics/panel-arma-model
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