Comparer des méthodes

	Modèle à changement de régime markovien (MS-AR / MS-VAR)	VAR Seuil et VAR à Transition Lisse (TVAR / STVAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1989	1998
Auteur d'origine	Hamilton (1989); Kim & Nelson (1999)	Tsay (multivariate threshold modelling)
Type	Regime-switching time series model	Nonlinear multivariate time-series model
Source fondatrice	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.	Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202.
Alias	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR	TVAR, STVAR, regime-switching VAR, threshold VAR
Apparentées	5	5
Résumé	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.	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.