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| Strukturelles VAR-Modell mit Strukturbrüchen× | Vektor-Fehlerkorrekturmodell (VECM)× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1980–2000s | 1987 |
| Urheber≠ | Sims (1980) for SVAR; structural break extensions developed throughout 1990s–2000s | Robert F. Engle and Clive W. J. Granger |
| Typ≠ | Multivariate time-series model with regime change | Multivariate time-series model |
| Wegweisende Quelle≠ | Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Aliasnamen | break-SVAR, SVAR with regime change, structural break structural VAR, SB-SVAR | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Verwandt≠ | 6 | 5 |
| Zusammenfassung≠ | The structural break SVAR model extends the standard Structural Vector Autoregression by allowing one or more discrete shifts in the system's parameters across time. It simultaneously identifies causal (structural) shocks and accounts for regime changes — such as policy shifts, crises, or institutional reforms — that alter the dynamics among multiple time series. | The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series. |
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