Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Impulse Response Function (IRF)× | Model vektorové autoregrese (VAR)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku | 2005 | 2005 |
| Tvůrce≠ | Helmut Lütkepohl | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Typ≠ | Post-estimation diagnostic | Multivariate time-series model |
| Původní zdroj | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. ISBN: 978-3-540-40172-8 | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Další názvy | IRF, Dynamic Multiplier, Shock Response Function, Etki Tepki Fonksiyonu | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Příbuzné≠ | 3 | 4 |
| Shrnutí≠ | The Impulse Response Function (IRF) traces the dynamic response of each variable in a Vector Autoregression (VAR) system to a one-unit shock in one of its error terms over a user-specified forecast horizon. It is the primary tool for structural analysis following VAR estimation and is widely used in macroeconomics, monetary economics, and finance to quantify how shocks propagate through interconnected time series systems. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
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