Сравнение на методи

	Прагова панелна векторна авторегресия (Threshold Panel VAR)	Глобален ВАР	Панелна регресия с плавен преход	Факторно-разширена VAR с променливи във времето параметри
Област	Иконометрия	Иконометрия	Иконометрия	Иконометрия
Семейство	Regression model	Regression model	Regression model	Regression model
Година на възникване	1996	2004	2005	2005
Създател	Bruce Hansen and colleagues	Pesaran, Schuermann, and Weiner	Gonzalez, Terasvirta, and van Dijk	Bernanke, Boivin, and Eliasz
Тип	Nonlinear panel model	International system model	Smooth-regime panel model	Time-varying system
Основополагащ източник	Hansen, B. E. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometric Theory, 12(3), 386-414.	Pesaran, M. H., Schuermann, T., & Weiner, S. M. (2004). Modeling regional interdependencies using a global error-correcting macroeconometric model. Journal of Business and Economic Statistics, 22(2), 129-162.	Gonzalez, A., Terasvirta, T., & van Dijk, D. (2005). Panel smooth transition regression models. Research Paper, Melbourne Institute of Applied Economic and Social Research.	Bernanke, B. S., Boivin, J., & Eliasz, P. S. (2005). Measuring monetary policy. Journal of Political Economy, 113(1), 161-208.
Други названия	Panel-VAR with regime switching	GVAR, Multi-country VAR	Smooth-transition panel model	Dynamic factor model with time-varying parameters
Свързани	3	3	3	3
Резюме	The Threshold Panel VAR extends the standard vector autoregression framework to accommodate regime-switching behavior where relationships change when a threshold variable crosses a critical level. Introduced by Hansen (1996) and applied to panels by Caner and Hansen (2001), it allows different dynamic relationships across regimes (e.g., expansions versus recessions) while exploiting the cross-sectional dimension of panel data. This nonlinear framework captures state-dependent policy effects and economic mechanisms.	Global VAR (GVAR) is a large-scale macroeconomic modeling framework linking multiple countries (or regions) via trade and financial channels, allowing shocks in one country to propagate through the global system. Introduced by Pesaran et al. (2004), it solves the curse of dimensionality in international VAR models by estimating country-specific VARs conditional on foreign variables, then solving a system linking all countries. This approach is invaluable for analyzing global spillovers and international policy coordination.	Panel Smooth Transition Regression (PSTR) models nonlinear panel relationships where coefficients transition smoothly (rather than abruptly) between regimes as a transition variable crosses thresholds. Introduced by Gonzalez et al. (2005), it extends univariate smooth-transition autoregression (STAR) models to panels, capturing gradual shifts in economic behavior. This approach is realistic when adjustment costs cause smooth (not sudden) regime changes.	TVP-FAVAR is a hybrid framework combining factor-augmented VARs with time-varying parameter estimation via Kalman filtering. Introduced by Bernanke et al. (2005) and refined by Primiceri (2005), it extracts latent economic factors (e.g., a 'common monetary policy shock') from high-dimensional data while allowing VAR coefficients to evolve stochastically over time. This framework captures both reduced-dimensionality patterns and structural instability, making it ideal for studying evolving policy regimes and shock dynamics.