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| Прагова панелна векторна авторегресия (Threshold Panel VAR)× | Панелна регресия с плавен преход× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1996 | 2005 |
| Създател≠ | Bruce Hansen and colleagues | Gonzalez, Terasvirta, and van Dijk |
| Тип≠ | Nonlinear panel model | Smooth-regime panel model |
| Основополагащ източник≠ | Hansen, B. E. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometric Theory, 12(3), 386-414. DOI ↗ | Gonzalez, A., Terasvirta, T., & van Dijk, D. (2005). Panel smooth transition regression models. Research Paper, Melbourne Institute of Applied Economic and Social Research. link ↗ |
| Други названия | Panel-VAR with regime switching | Smooth-transition panel model |
| Свързани | 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. | 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. |
| ScholarGateНабор от данни ↗ |
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