Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Model klouzavého průměru (MA)× | Vektorová autoregrese (VAR)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1970 | 1980 |
| Tvůrce≠ | Box and Jenkins | Christopher A. Sims |
| Typ≠ | Linear time series model | Multivariate time-series model |
| Původní zdroj≠ | Box, G. E. P., Jenkins, G. M., & Reinsel, G. C. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0130607744 | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Další názvy | MA model, MA(q) process, moving-average process, Box-Jenkins MA | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Příbuzné | 5 | 5 |
| Shrnutí≠ | The Moving Average model of order q — written MA(q) — expresses the current value of a time series as a linear combination of the current and past random shocks (innovations). Unlike the AR model which uses lagged values of the series itself, the MA model uses lagged error terms, making it well-suited for capturing short-lived disturbances that dissipate over q periods. | 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. |
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