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| Модел на Векторна Авторегресия със Структурни Прекъсвания× | Модел с корекция на грешката чрез вектори при структурни сътресения (SB-VECM)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1980–1998 | 1996–2000 |
| Създател≠ | Bai & Perron (structural breaks); Sims (VAR framework) | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) |
| Тип≠ | Multivariate time series model with regime change | Multivariate error correction model with structural breaks |
| Основополагащ източник≠ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ |
| Други названия | VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM |
| Свързани≠ | 6 | 5 |
| Резюме≠ | 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 Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. |
| ScholarGateНабор от данни ↗ |
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