Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Régression à Transition Douce sur Données de Panel× | VAR à facteurs augmentés à paramètres variant dans le temps× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine | 2005 | 2005 |
| Auteur d'origine≠ | Gonzalez, Terasvirta, and van Dijk | Bernanke, Boivin, and Eliasz |
| Type≠ | Smooth-regime panel model | Time-varying system |
| 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. link ↗ | Bernanke, B. S., Boivin, J., & Eliasz, P. S. (2005). Measuring monetary policy. Journal of Political Economy, 113(1), 161-208. link ↗ |
| Alias | Smooth-transition panel model | Dynamic factor model with time-varying parameters |
| 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. | TVP-FAVAR is a hybrid framework combining factor-augmented VARs with time-varying parameter estimation via Kalman filtering. Introduced by Bernanke et al. (2005) and refined by Primiceri (2005), it extracts latent economic factors (e.g., a 'common monetary policy shock') from high-dimensional data while allowing VAR coefficients to evolve stochastically over time. This framework captures both reduced-dimensionality patterns and structural instability, making it ideal for studying evolving policy regimes and shock dynamics. |
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