Compara mètodes
Revisa els mètodes seleccionats l'un al costat de l'altre; les files que difereixen es ressalten.
| Model de Vector Autoregressiu Estructural No Lineal (NL-SVAR)× | Autoregressió Vectorial (VAR)× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1990s–2010s | 1980 |
| Autor original≠ | Extensions by Koop, Potter, Auerbach, Gorodnichenko and others | Christopher A. Sims |
| Tipus≠ | Multivariate nonlinear structural time series model | Multivariate time-series model |
| Font seminal≠ | Koop, G., & Korobilis, D. (2010). Bayesian multivariate time series methods for empirical macroeconomics. Foundations and Trends in Econometrics, 3(4), 267–358. DOI ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Àlies | nonlinear structural VAR, NL-SVAR, threshold SVAR, regime-switching SVAR | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Relacionats≠ | 6 | 5 |
| Resum≠ | The Nonlinear Structural VAR model extends the standard SVAR framework to allow structural relationships and dynamic responses to vary across economic regimes or states of the world. By imposing nonlinear transition mechanisms — such as threshold switching or smooth regime change — it captures asymmetric responses to shocks that a linear SVAR cannot detect. | Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance. |
| ScholarGateConjunt de dades ↗ |
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