مقایسهٔ روشها
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| مدل تصحیح خطای برداری با شکستهای ساختاری (SB-VECM)× | مدل خودرگرسیونی برداری با شکست ساختاری (Structural Break VAR Model)× | |
|---|---|---|
| حوزه | اقتصادسنجی | اقتصادسنجی |
| خانواده | Regression model | Regression model |
| سال پیدایش≠ | 1996–2000 | 1980–1998 |
| پدیدآور≠ | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) | Bai & Perron (structural breaks); Sims (VAR framework) |
| نوع≠ | Multivariate error correction model with structural breaks | Multivariate time series model with regime change |
| منبع بنیادین≠ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗ |
| نامهای دیگر | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM | VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR |
| مرتبط≠ | 5 | 6 |
| خلاصه≠ | The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. | 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. |
| ScholarGateمجموعهداده ↗ |
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