Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Modelo de cambio de régimen de Markov (MS-AR / MS-VAR)× | VAR de Umbral y VAR de Transición Suave (TVAR / STVAR)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1989 | 1998 |
| Autor original≠ | Hamilton (1989); Kim & Nelson (1999) | Tsay (multivariate threshold modelling) |
| Tipo≠ | Regime-switching time series model | Nonlinear multivariate time-series model |
| Fuente seminal≠ | Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384. DOI ↗ | Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202. DOI ↗ |
| Alias | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR | TVAR, STVAR, regime-switching VAR, threshold VAR |
| Relacionados | 5 | 5 |
| Resumen≠ | 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. | 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. |
| ScholarGateConjunto de datos ↗ |
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