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Structural break SVAR model

The structural break SVAR model extends the standard Structural Vector Autoregression by allowing one or more discrete shifts in the system's parameters across time. It simultaneously identifies causal (structural) shocks and accounts for regime changes — such as policy shifts, crises, or institutional reforms — that alter the dynamics among multiple time series.

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Structural Vector Autoregression with Structural Breaks

Taksonoomiline meetodikirje · regression-model / econometrics

Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48. · DOI 10.2307/1912017
Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. · ISBN 978-3540401728

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