Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Aeg-muutuvate parameetritega VAR-mudel (TVP-VAR)× | Ajalikult muutuvate parameetritega ARDL-i piirtest× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 2005 | 2010s |
| Looja≠ | Primiceri (2005); Cogley & Sargent (2001, 2005) | Extension of Pesaran, Shin & Smith (2001); TVP variant developed in applied time-series literature ca. 2010s |
| Tüüp≠ | Multivariate time-series model with drifting coefficients | Cointegration / bounds test with time-varying coefficients |
| Algallikas≠ | Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821-852. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ |
| Rööpnimetused | TVP-VAR, time-varying VAR, TV-VAR, drifting-coefficient VAR | TVP-ARDL bounds test, time-varying ARDL cointegration, TVP bounds testing approach, dynamic ARDL bounds test |
| Seotud≠ | 6 | 2 |
| Kokkuvõte≠ | The Time-Varying Parameter VAR (TVP-VAR) model extends the standard vector autoregression by allowing the coefficients and error covariances to evolve gradually over time. Estimated via Bayesian methods and MCMC simulation, it captures how dynamic relationships between macroeconomic or financial variables shift across different economic regimes without requiring pre-specified break points. | The time-varying parameter ARDL bounds test extends the classic Pesaran-Shin-Smith (2001) bounds testing framework by allowing regression coefficients to evolve continuously over time. It detects whether a long-run cointegrating relationship between variables exists and whether that relationship has been stable or shifting across the sample period. |
| ScholarGateAndmestik ↗ |
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