Σύγκριση μεθόδων

	Μοντέλο Μαρκοβιανής Εναλλαγής Καθεστώτων (MS-AR / MS-VAR)	Μοντέλο Αυτοπαλινδρόμησης Διανυσμάτων (VAR)
Πεδίο	Οικονομετρία	Οικονομετρία
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	1989	2005
Δημιουργός	Hamilton (1989); Kim & Nelson (1999)	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
Τύπος	Regime-switching time series model	Multivariate time-series model
Θεμελιώδης πηγή	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
Εναλλακτικές ονομασίες	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
Συναφείς	5	4
Σύνοψη	The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions.	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).