Сравнение на методи
Прегледайте избраните методи един до друг; редовете с разлики са откроени.
| Модел ARIMA (Авторегресионен интегриран плъзгащ се среден)× | Структурна векторна авторегресия (SVAR)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1970 | 1980 |
| Създател≠ | George Box and Gwilym Jenkins | Sims (1980); identification schemes by Blanchard & Quah (1989) |
| Тип≠ | Time series forecasting model | Multivariate time series model |
| Основополагащ източник≠ | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ | Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673. link ↗ |
| Други названия | ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q) | SVAR, structural vector autoregression, identified VAR, structural VAR model |
| Свързани≠ | 6 | 5 |
| Резюме≠ | The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics. | Structural VAR extends the reduced-form VAR by imposing economic theory-based restrictions that identify orthogonal structural shocks. This allows researchers to disentangle the causal effects of distinct economic disturbances — such as supply versus demand shocks — and trace their dynamic propagation through a system of variables via impulse response functions and forecast error variance decompositions. |
| ScholarGateНабор от данни ↗ |
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