Comparer des méthodes

	Modèle de VAR structurelle robuste (Robust SVAR)	Modèle à Correction d'Erreur Vectoriel Robuste (VECM Robuste)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2000s–2010s	1997–2001
Auteur d'origine	Extension of Sims (1980) SVAR with robust inference methods	Sakata & White (1998); Lucas (1997) — robust cointegrated system estimation
Type	Structural time series model	Robust multivariate time-series model
Source fondatrice	Lutkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. ISBN: 978-3540401728	Caner, M., & Kilian, L. (2001). Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for the PPP debate. Journal of International Money and Finance, 20(5), 639-657.
Alias	robust SVAR, robust structural VAR, heteroscedasticity-robust SVAR, outlier-robust structural VAR	robust VECM, outlier-robust VECM, robust cointegration model, robust VEC model
Apparentées	6	1
Résumé	The Robust SVAR model extends the classical Structural VAR framework by incorporating robust estimation and inference methods that remain valid in the presence of heteroscedasticity, non-Gaussian errors, or outliers. By combining structural identification with robust statistical procedures, it produces reliable impulse responses and forecast error variance decompositions even when standard SVAR assumptions are violated in macroeconomic data.	Robust VECM extends the classical Vector Error Correction Model by replacing ordinary least squares estimation with outlier-resistant procedures — such as M-estimators, S-estimators, or least trimmed squares — so that cointegration relationships and short-run adjustment dynamics are estimated reliably even when the multivariate time series contains outliers, structural breaks, or heavy-tailed innovations.