Comparer des méthodes

	Modèle de Vecteurs Autorégressifs Structurels Non Linéaires (NL-SVAR)	Modèle à Correction d'Erreur Vectorielle (VECM)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1990s–2010s	1987
Auteur d'origine	Extensions by Koop, Potter, Auerbach, Gorodnichenko and others	Robert F. Engle and Clive W. J. Granger
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.	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.
Alias	nonlinear structural VAR, NL-SVAR, threshold SVAR, regime-switching SVAR	VECM, error correction VAR, cointegrated VAR, vector equilibrium correction 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.	The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series.