Vertaile menetelmiä
Tarkastele valitsemiasi menetelmiä rinnakkain; eroavat rivit korostetaan.
| Kynnys- ja sileän siirtymän VAR (TVAR / STVAR)× | ARCH-LM-testi volatiliteettiklusterointiin× | |
|---|---|---|
| Tieteenala | Ekonometria | Ekonometria |
| Menetelmäperhe | Regression model | Regression model |
| Syntyvuosi≠ | 1998 | 1982 |
| Kehittäjä≠ | Tsay (multivariate threshold modelling) | Robert F. Engle |
| Tyyppi≠ | Nonlinear multivariate time-series model | Lagrange multiplier diagnostic test for conditional heteroscedasticity |
| Alkuperäislähde≠ | Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202. DOI ↗ | Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007. DOI ↗ |
| Rinnakkaisnimet≠ | TVAR, STVAR, regime-switching VAR, threshold VAR | ARCH-LM Testi ve Volatilite Kümelenmesi Analizi, ARCH LM test, Engle's ARCH test, test for autoregressive conditional heteroscedasticity |
| Liittyvät≠ | 5 | 6 |
| Tiivistelmä≠ | 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 ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks whether the error variance changes over time and clusters into calm and turbulent periods, and it is the standard pre-test run before fitting a GARCH-family volatility model. |
| ScholarGateAineisto ↗ |
|
|