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| نموذج الانحدار الذاتي المتجه (VAR) مع الانقطاعات الهيكلية× | نموذج تصحيح الخطأ المتجهي (VECM)× | |
|---|---|---|
| المجال | الاقتصاد القياسي | الاقتصاد القياسي |
| العائلة | Regression model | Regression model |
| سنة النشأة≠ | 1980–1998 | 1987 |
| صاحب الطريقة≠ | Bai & Perron (structural breaks); Sims (VAR framework) | Robert F. Engle and Clive W. J. Granger |
| النوع≠ | Multivariate time series model with regime change | Multivariate time-series model |
| المصدر التأسيسي≠ | 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 ↗ |
| الأسماء البديلة | VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| ذات صلة≠ | 6 | 5 |
| الملخص≠ | The Structural Break VAR model extends the standard Vector Autoregression (VAR) framework by allowing coefficient matrices and error covariance to shift at one or more unknown break dates. It is designed for multivariate time series where economic relationships change abruptly due to policy shifts, financial crises, or major structural events. | The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series. |
| ScholarGateمجموعة البيانات ↗ |
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