Regression model
面板向量自回归模型 (Panel VAR)
面板向量自回归模型 (Panel VAR) 将向量自回归模型扩展到面板数据，通过固定效应控制了跨单元异质性，从而模拟了多个变量之间的动态相互作用。该模型由 Holtz-Eakin、Newey 和 Rosen 于 1988 年提出，可生成面板层面的脉冲响应函数和方差分解。
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来源
- Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI: 10.2307/1913103 ↗
- Abrigo, M. R. M. & Love, I. (2016). Estimation of Panel Vector Autoregression in Stata. Stata Journal, 16(3), 778-804. DOI: 10.1177/1536867X1601600314 ↗
如何引用本页
ScholarGate. (2026, June 1). Panel Vector Autoregression. ScholarGate. https://scholargate.app/zh/econometrics/panel-var
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