مقایسهٔ روشها
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| مدل خودرگرسیونی برداری با شکست ساختاری (Structural Break VAR Model)× | خودبازگشتی برداری (VAR)× | |
|---|---|---|
| حوزه | اقتصادسنجی | اقتصادسنجی |
| خانواده | Regression model | Regression model |
| سال پیدایش≠ | 1980–1998 | 1980 |
| پدیدآور≠ | Bai & Perron (structural breaks); Sims (VAR framework) | Christopher A. Sims |
| نوع≠ | Multivariate time series model with regime change | Multivariate time-series model |
| منبع بنیادین≠ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| نامهای دیگر | VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| مرتبط≠ | 6 | 5 |
| خلاصه≠ | The Structural Break VAR model extends the standard Vector Autoregression (VAR) framework by allowing coefficient matrices and error covariance to shift at one or more unknown break dates. It is designed for multivariate time series where economic relationships change abruptly due to policy shifts, financial crises, or major structural events. | Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance. |
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