Compara mètodes

	Model d'ARIMA (Autoregressive Integrated Moving Average)	Vector Autoregressiu Bayesà (BVAR)	Model de commutació de règims de Markov (MS-AR / MS-VAR)
Camp	Econometria	Econometria	Econometria
Família	Regression model	Regression model	Regression model
Any d'origen	2015	1986	1989
Autor original	Box & Jenkins (Box-Jenkins methodology)	Litterman (1986); Bańbura, Giannone & Reichlin (2010)	Hamilton (1989); Kim & Nelson (1999)
Tipus	Univariate time-series model	Bayesian multivariate time-series model	Regime-switching time series model
Font seminal	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Litterman, R. B. (1986). Forecasting with Bayesian Vector Autoregressions—Five Years of Experience. Journal of Business & Economic Statistics, 4(1), 25-38.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
Àlies	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	BVAR, Bayesian vector autoregression, Minnesota prior VAR, Bayesian VAR (BVAR)	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR
Relacionats	5	5	5
Resum	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).	Bayesian VAR adds Minnesota or other prior distributions to a vector autoregressive model to control over-parameterisation. Introduced by Litterman (1986) and extended to high dimensions by Bańbura, Giannone and Reichlin (2010), it outperforms classical VAR on short series and high-dimensional macroeconomic forecasts.	The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions.