Comparer des méthodes

	Régression à Transition Douce sur Données de Panel	Panneau seuil VAR
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2005	1996
Auteur d'origine	Gonzalez, Terasvirta, and van Dijk	Bruce Hansen and colleagues
Type	Smooth-regime panel model	Nonlinear panel model
Source fondatrice	Gonzalez, A., Terasvirta, T., & van Dijk, D. (2005). Panel smooth transition regression models. Research Paper, Melbourne Institute of Applied Economic and Social Research.	Hansen, B. E. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometric Theory, 12(3), 386-414.
Alias	Smooth-transition panel model	Panel-VAR with regime switching
Apparentées	3	3
Résumé	Panel Smooth Transition Regression (PSTR) models nonlinear panel relationships where coefficients transition smoothly (rather than abruptly) between regimes as a transition variable crosses thresholds. Introduced by Gonzalez et al. (2005), it extends univariate smooth-transition autoregression (STAR) models to panels, capturing gradual shifts in economic behavior. This approach is realistic when adjustment costs cause smooth (not sudden) regime changes.	The Threshold Panel VAR extends the standard vector autoregression framework to accommodate regime-switching behavior where relationships change when a threshold variable crosses a critical level. Introduced by Hansen (1996) and applied to panels by Caner and Hansen (2001), it allows different dynamic relationships across regimes (e.g., expansions versus recessions) while exploiting the cross-sectional dimension of panel data. This nonlinear framework captures state-dependent policy effects and economic mechanisms.