Compara mètodes

	Model de Vector Autoregressiu Bayesian (BVAR)	Model vectorial d'error de correcció bayesià (Bayesian VECM)
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	1984	2002–2005
Autor original	Doan, Litterman & Sims	Kleibergen & Paap; Villani
Tipus	Multivariate time-series model	Bayesian multivariate time series model
Font seminal	Doan, T., Litterman, R., & Sims, C. (1984). Forecasting and conditional projection using realistic prior distributions. Econometric Reviews, 3(1), 1–100.	Kleibergen, F., & Paap, R. (2002). Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration. Journal of Econometrics, 111(2), 223–249.
Àlies	BVAR, Bayesian VAR, Bayesian vector autoregressive model, BVAR model	Bayesian VECM, B-VECM, Bayesian cointegrated VAR, Bayesian vector error correction
Relacionats	5	5
Resum	The Bayesian Vector Autoregression (BVAR) model extends the classical VAR framework by incorporating prior beliefs about the model coefficients. Priors — most commonly the Minnesota prior — shrink VAR coefficients toward economically sensible values, dramatically reducing overfitting and improving out-of-sample forecast accuracy even when the number of variables is large.	The Bayesian VECM combines the classical Vector Error Correction Model — which captures both short-run dynamics and long-run cointegrating relationships among non-stationary multivariate time series — with Bayesian prior distributions over the cointegrating rank and coefficient matrices. This allows principled uncertainty quantification, incorporation of economic theory as priors, and coherent inference even in small samples.