Σύγκριση μεθόδων

	VAR κατωφliού και VAR Ομαλής Μετάβασης (TVAR / STVAR)	Έλεγχος ARCH-LM για Συσταδοποίηση Μεταβλητότητας
Πεδίο	Οικονομετρία	Οικονομετρία
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	1998	1982
Δημιουργός	Tsay (multivariate threshold modelling)	Robert F. Engle
Τύπος	Nonlinear multivariate time-series model	Lagrange multiplier diagnostic test for conditional heteroscedasticity
Θεμελιώδης πηγή	Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202.	Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.
Εναλλακτικές ονομασίες	TVAR, STVAR, regime-switching VAR, threshold VAR	ARCH-LM Testi ve Volatilite Kümelenmesi Analizi, ARCH LM test, Engle's ARCH test, test for autoregressive conditional heteroscedasticity
Συναφείς	5	6
Σύνοψη	Threshold VAR and Smooth-Transition VAR are nonlinear multivariate time-series models in which the coefficients of a vector autoregression switch between regimes according to a threshold variable. Building on Tsay's 1998 treatment of multivariate threshold models, they capture different dynamic structures across phases such as the business cycle, financial crises, or policy differences.	The ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks whether the error variance changes over time and clusters into calm and turbulent periods, and it is the standard pre-test run before fitting a GARCH-family volatility model.