Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Modelo ARMA bayesiano× | Vector Autoregression (VAR)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1970s–1980s | 1980 |
| Autor original≠ | Box & Jenkins (classical ARMA); Bayesian treatment developed through work of Zellner, Geweke, and others in 1970s–1980s | Christopher A. Sims |
| Tipo≠ | Bayesian time series model | Multivariate time-series model |
| Fuente seminal≠ | Geweke, J., & Meese, R. (1981). Estimating regression models of finite but unknown order. International Economic Review, 22(1), 55–70. link ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Alias | Bayesian ARMA, B-ARMA, Bayesian autoregressive moving average, ARMA with Bayesian inference | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Relacionados≠ | 6 | 5 |
| Resumen≠ | The Bayesian ARMA model applies Bayesian inference to the classical autoregressive moving average framework for stationary univariate time series. Rather than producing single point estimates for the AR and MA parameters, it yields full posterior distributions, naturally incorporating prior knowledge and providing coherent uncertainty quantification over forecasts and impulse responses. | 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. |
| ScholarGateConjunto de datos ↗ |
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