Comparer des méthodes

	Modèle à changement de régime markovien (MS-AR / MS-VAR)	Modèle de Vector Autoregression (VAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1989	2005
Auteur d'origine	Hamilton (1989); Kim & Nelson (1999)	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
Type	Regime-switching time series model	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.	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
Alias	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
Apparentées	5	4
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.	Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005).