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| Vector autoregressiu amb llindar i transició suau (TVAR / STVAR)× | Prova ARCH-LM per a l'agrupació de volatilitat× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1998 | 1982 |
| Autor original≠ | Tsay (multivariate threshold modelling) | Robert F. Engle |
| Tipus≠ | Nonlinear multivariate time-series model | Lagrange multiplier diagnostic test for conditional heteroscedasticity |
| Font seminal≠ | Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202. DOI ↗ | Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007. DOI ↗ |
| Àlies≠ | TVAR, STVAR, regime-switching VAR, threshold VAR | ARCH-LM Testi ve Volatilite Kümelenmesi Analizi, ARCH LM test, Engle's ARCH test, test for autoregressive conditional heteroscedasticity |
| Relacionats≠ | 5 | 6 |
| Resum≠ | Threshold VAR and Smooth-Transition VAR are nonlinear multivariate time-series models in which the coefficients of a vector autoregression switch between regimes according to a threshold variable. Building on Tsay's 1998 treatment of multivariate threshold models, they capture different dynamic structures across phases such as the business cycle, financial crises, or policy differences. | The ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks whether the error variance changes over time and clusters into calm and turbulent periods, and it is the standard pre-test run before fitting a GARCH-family volatility model. |
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