مقایسهٔ روش‌ها

	Threshold and Smooth-Transition VAR	مدل رژیم-سوئیچینگ مارکوف (MS-AR / MS-VAR)
حوزه	اقتصادسنجی	اقتصادسنجی
خانواده	Regression model	Regression model
سال پیدایش	1998	1989
پدیدآور	Tsay (multivariate threshold modelling)	Hamilton (1989); Kim & Nelson (1999)
نوع	Nonlinear multivariate time-series model	Regime-switching time series model
منبع بنیادین	Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
نام‌های دیگر	TVAR, STVAR, regime-switching VAR, threshold VAR	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR
مرتبط	5	5
خلاصه	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 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.