Comparer des méthodes

	Modèle de Vecteurs Autorégressifs Structurels Non Linéaires (NL-SVAR)	Autoregressive Vectoriel (VAR)
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	Christopher A. Sims
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.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
Alias	nonlinear structural VAR, NL-SVAR, threshold SVAR, regime-switching SVAR	VAR, VAR model, vector autoregressive model, multivariate autoregression
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.	Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance.