Comparer des méthodes

	VAR Global	Régression à Transition Douce sur Données de Panel
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2004	2005
Auteur d'origine	Pesaran, Schuermann, and Weiner	Gonzalez, Terasvirta, and van Dijk
Type	International system model	Smooth-regime panel model
Source fondatrice	Pesaran, M. H., Schuermann, T., & Weiner, S. M. (2004). Modeling regional interdependencies using a global error-correcting macroeconometric model. Journal of Business and Economic Statistics, 22(2), 129-162.	Gonzalez, A., Terasvirta, T., & van Dijk, D. (2005). Panel smooth transition regression models. Research Paper, Melbourne Institute of Applied Economic and Social Research.
Alias	GVAR, Multi-country VAR	Smooth-transition panel model
Apparentées	3	3
Résumé	Global VAR (GVAR) is a large-scale macroeconomic modeling framework linking multiple countries (or regions) via trade and financial channels, allowing shocks in one country to propagate through the global system. Introduced by Pesaran et al. (2004), it solves the curse of dimensionality in international VAR models by estimating country-specific VARs conditional on foreign variables, then solving a system linking all countries. This approach is invaluable for analyzing global spillovers and international policy coordination.	Panel Smooth Transition Regression (PSTR) models nonlinear panel relationships where coefficients transition smoothly (rather than abruptly) between regimes as a transition variable crosses thresholds. Introduced by Gonzalez et al. (2005), it extends univariate smooth-transition autoregression (STAR) models to panels, capturing gradual shifts in economic behavior. This approach is realistic when adjustment costs cause smooth (not sudden) regime changes.