Comparer des méthodes

	Modèle de Vecteurs Autorégressifs Structurels Non Linéaires (NL-SVAR)	Autorégression Vectorielle Structurelle (SVAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1990s–2010s	1980
Auteur d'origine	Extensions by Koop, Potter, Auerbach, Gorodnichenko and others	Sims (1980); identification schemes by Blanchard & Quah (1989)
Type	Multivariate nonlinear structural time series model	Multivariate time series model
Source fondatrice	Koop, G., & Korobilis, D. (2010). Bayesian multivariate time series methods for empirical macroeconomics. Foundations and Trends in Econometrics, 3(4), 267–358.	Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673.
Alias	nonlinear structural VAR, NL-SVAR, threshold SVAR, regime-switching SVAR	SVAR, structural vector autoregression, identified VAR, structural VAR model
Apparentées	6	5
Résumé	The Nonlinear Structural VAR model extends the standard SVAR framework to allow structural relationships and dynamic responses to vary across economic regimes or states of the world. By imposing nonlinear transition mechanisms — such as threshold switching or smooth regime change — it captures asymmetric responses to shocks that a linear SVAR cannot detect.	Structural VAR extends the reduced-form VAR by imposing economic theory-based restrictions that identify orthogonal structural shocks. This allows researchers to disentangle the causal effects of distinct economic disturbances — such as supply versus demand shocks — and trace their dynamic propagation through a system of variables via impulse response functions and forecast error variance decompositions.