Sammenlign metoder

	Bayesiansk Strukturel VAR (B-SVAR) Model	Bayesiansk Vektor Fejlkorrektionsmodel (Bayesian VECM)
Fagområde	Økonometri	Økonometri
Familie	Regression model	Regression model
Oprindelsesår	1998–2005	2002–2005
Ophavsperson	Sims & Zha (1998); Uhlig (2005) for sign-restriction identification	Kleibergen & Paap; Villani
Type	Structural multivariate time-series model	Bayesian multivariate time series model
Oprindelig kilde	Sims, C. A., & Zha, T. (1998). Bayesian methods for dynamic multivariate models. International Economic Review, 39(4), 949–968.	Kleibergen, F., & Paap, R. (2002). Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration. Journal of Econometrics, 111(2), 223–249.
Aliasser	Bayesian SVAR, B-SVAR, Bayesian structural VAR, Bayesian identified VAR	Bayesian VECM, B-VECM, Bayesian cointegrated VAR, Bayesian vector error correction
Relaterede	6	5
Resumé	The Bayesian Structural Vector Autoregression model combines the structural identification of SVAR with Bayesian prior distributions over parameters. It estimates causal impulse responses between multiple time series while incorporating prior economic knowledge and producing full posterior uncertainty bands rather than point estimates alone.	The Bayesian VECM combines the classical Vector Error Correction Model — which captures both short-run dynamics and long-run cointegrating relationships among non-stationary multivariate time series — with Bayesian prior distributions over the cointegrating rank and coefficient matrices. This allows principled uncertainty quantification, incorporation of economic theory as priors, and coherent inference even in small samples.