Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Autoregression vectorielle bayésienne (BVAR)× | Modèle structurel de séries temporelles (Modèle structurel de base)× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1986 | 1990 |
| Auteur d'origine≠ | Litterman (1986); Bańbura, Giannone & Reichlin (2010) | Andrew C. Harvey |
| Type≠ | Bayesian multivariate time-series model | State-space (unobserved components) time series model |
| Source fondatrice≠ | Litterman, R. B. (1986). Forecasting with Bayesian Vector Autoregressions—Five Years of Experience. Journal of Business & Economic Statistics, 4(1), 25-38. DOI ↗ | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. ISBN: 978-0521405737 |
| Alias | BVAR, Bayesian vector autoregression, Minnesota prior VAR, Bayesian VAR (BVAR) | BSM, basic structural model, unobserved components model, Yapısal Zaman Serisi Modeli (BSM) |
| Apparentées≠ | 5 | 4 |
| Résumé≠ | Bayesian VAR adds Minnesota or other prior distributions to a vector autoregressive model to control over-parameterisation. Introduced by Litterman (1986) and extended to high dimensions by Bańbura, Giannone and Reichlin (2010), it outperforms classical VAR on short series and high-dimensional macroeconomic forecasts. | The Structural Time Series Model, in its Basic Structural Model (BSM) form, is Andrew Harvey's state-space approach that decomposes a series into separate stochastic trend, seasonal, cyclical, and irregular components. Developed in Harvey's 1990 treatment, it is prized for interpretability and component decomposition where ARIMA only delivers a black-box fit. |
| ScholarGateJeu de données ↗ |
|
|