Comparar métodos

	VAR de Umbral y VAR de Transición Suave (TVAR / STVAR)	Prueba ARCH-LM para la Agrupación de Volatilidad	Modelo de cambio de régimen de Markov (MS-AR / MS-VAR)
Campo	Econometría	Econometría	Econometría
Familia	Regression model	Regression model	Regression model
Año de origen	1998	1982	1989
Autor original	Tsay (multivariate threshold modelling)	Robert F. Engle	Hamilton (1989); Kim & Nelson (1999)
Tipo	Nonlinear multivariate time-series model	Lagrange multiplier diagnostic test for conditional heteroscedasticity	Regime-switching time series model
Fuente seminal	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.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
Alias	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	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR
Relacionados	5	6	5
Resumen	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.	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.