Compara mètodes

	VAR augmentat per factors amb paràmetres que varien en el temps	VAR llindar de Panell
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	2005	1996
Autor original	Bernanke, Boivin, and Eliasz	Bruce Hansen and colleagues
Tipus	Time-varying system	Nonlinear panel model
Font seminal	Bernanke, B. S., Boivin, J., & Eliasz, P. S. (2005). Measuring monetary policy. Journal of Political Economy, 113(1), 161-208.	Hansen, B. E. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometric Theory, 12(3), 386-414.
Àlies	Dynamic factor model with time-varying parameters	Panel-VAR with regime switching
Relacionats	3	3
Resum	TVP-FAVAR is a hybrid framework combining factor-augmented VARs with time-varying parameter estimation via Kalman filtering. Introduced by Bernanke et al. (2005) and refined by Primiceri (2005), it extracts latent economic factors (e.g., a 'common monetary policy shock') from high-dimensional data while allowing VAR coefficients to evolve stochastically over time. This framework captures both reduced-dimensionality patterns and structural instability, making it ideal for studying evolving policy regimes and shock dynamics.	The Threshold Panel VAR extends the standard vector autoregression framework to accommodate regime-switching behavior where relationships change when a threshold variable crosses a critical level. Introduced by Hansen (1996) and applied to panels by Caner and Hansen (2001), it allows different dynamic relationships across regimes (e.g., expansions versus recessions) while exploiting the cross-sectional dimension of panel data. This nonlinear framework captures state-dependent policy effects and economic mechanisms.