Compara mètodes
Revisa els mètodes seleccionats l'un al costat de l'altre; les files que difereixen es ressalten.
| Model AR amb trencament estructural× | Model de Correcció d'Errors Vectorial amb Ruptures Estructurals (SB-VECM)× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1989-2003 | 1996–2000 |
| Autor original≠ | Perron (1989); Bai & Perron (1998, 2003) | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) |
| Tipus≠ | Time-series model with structural change | Multivariate error correction model with structural breaks |
| Font seminal≠ | Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1-22. DOI ↗ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ |
| Àlies | AR model with structural change, breakpoint AR model, piecewise autoregressive model, AR model with regime shifts | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM |
| Relacionats≠ | 6 | 5 |
| Resum≠ | The structural break AR model extends the standard autoregressive framework by allowing the intercept and autoregressive coefficients to shift at one or more unknown break dates. Each regime between consecutive break points is governed by its own AR parameters, capturing abrupt changes in the dynamics of a time series caused by crises, policy shifts, or other shocks. | The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. |
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