Comparar métodos

	Vector Autorregresivo Aumentado por Factores (FAVAR)	Regresión por Mínimos Cuadrados Ordinarios (MCO)	Modelo de Vectores Autorregresivos (VAR)
Campo	Econometría	Econometría	Econometría
Familia	Regression model	Regression model	Regression model
Año de origen	2005	2019	2005
Autor original	Bernanke, Boivin & Eliasz (2005); building on Stock & Watson diffusion indexes	Wooldridge (textbook treatment); classical least squares	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
Tipo	Multivariate time-series model	Linear regression	Multivariate time-series model
Fuente seminal	Bernanke, B. S., Boivin, J. & Eliasz, P. (2005). Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach. The Quarterly Journal of Economics, 120(1), 387-422.	Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
Alias	factor-augmented VAR, FAVAR model, Faktör Artırımlı VAR (FAVAR)	ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
Relacionados	4	5	4
Resumen	FAVAR is a multivariate time-series model that first compresses information from a very large set of variables into a few common factors, then includes those factors alongside the observed variables in a vector autoregression. It was introduced by Bernanke, Boivin and Eliasz in 2005 to study monetary policy using hundreds of macroeconomic indicators at once.	Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE).	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).