Regression modelPanel dynamics
面板VARX模型
面板VARX模型将向量自回归模型扩展到包含外生变量的异质性面板数据，能够同时对多个内生变量以及跨多个单元的观测外部因素进行建模。该模型由Holtz-Eakin等人（1988）提出，并由Canova和Ciccarelli（2013）进一步发展，它能够捕捉单元内部的动态关系，同时允许参数在不同单元之间变化。该框架对于宏观经济面板数据分析以及理解对共同冲击的跨单元异质性反应至关重要。
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来源
- Canova, F., & Ciccarelli, M. (2013). Panel vector autoregressive models: A survey. Advances in Econometrics, 32, 205-246. DOI: 10.1108/s0731-9053(2013)0000031006 ↗
- Holtz-Eakin, D., Newey, W., & Rosen, H. S. (1988). Estimating vector autoregressions with panel data. Econometrica, 56(6), 1371-1395. DOI: 10.2307/1913103 ↗
如何引用本页
ScholarGate. (2026, June 3). Panel Vector Autoregression with Exogenous Variables. ScholarGate. https://scholargate.app/zh/econometrics/panel-varx
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