Comparer des méthodes

	Modèle AR à rupture structurelle	Modèle Vector Error Correction avec Ruptures Structurelles (SB-VECM)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1989-2003	1996–2000
Auteur d'origine	Perron (1989); Bai & Perron (1998, 2003)	Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000)
Type	Time-series model with structural change	Multivariate error correction model with structural breaks
Source fondatrice	Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1-22.	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126.
Alias	AR model with structural change, breakpoint AR model, piecewise autoregressive model, AR model with regime shifts	SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM
Apparentées	6	5
Résumé	The structural break AR model extends the standard autoregressive framework by allowing the intercept and autoregressive coefficients to shift at one or more unknown break dates. Each regime between consecutive break points is governed by its own AR parameters, capturing abrupt changes in the dynamics of a time series caused by crises, policy shifts, or other shocks.	The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes.