Σύγκριση μεθόδων

	Αιτιότητα κατά Granger με δομικά κατάγματα	Αυτοπαλινδρόμηση Διανυσμάτων (VAR)
Πεδίο	Οικονομετρία	Οικονομετρία
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	1995-2010	1980
Δημιουργός	Granger (1969) causality framework extended by Toda & Yamamoto (1995) and Balcilar et al. (2010)	Christopher A. Sims
Τύπος	Hypothesis test / time-series model	Multivariate time-series model
Θεμελιώδης πηγή	Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
Εναλλακτικές ονομασίες	break-robust Granger causality, Granger causality under regime change, time-varying Granger causality, structural change Granger test	VAR, VAR model, vector autoregressive model, multivariate autoregression
Συναφείς	3	5
Σύνοψη	Structural break Granger causality extends the classic Granger causality framework to accommodate regime shifts and parameter instability in time series. By detecting break points and testing causality within sub-samples or via rolling/recursive windows, it reveals whether a predictive relationship between variables switches on, switches off, or changes direction over time.	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.