Comparer des méthodes

	Modèle VAR à ruptures structurelles	Modèle Vector Error Correction avec Ruptures Structurelles (SB-VECM)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1980–1998	1996–2000
Auteur d'origine	Bai & Perron (structural breaks); Sims (VAR framework)	Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000)
Type	Multivariate time series model with regime change	Multivariate error correction model with structural breaks
Source fondatrice	Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78.	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	VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR	SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM
Apparentées	6	5
Résumé	The Structural Break VAR model extends the standard Vector Autoregression (VAR) framework by allowing coefficient matrices and error covariance to shift at one or more unknown break dates. It is designed for multivariate time series where economic relationships change abruptly due to policy shifts, financial crises, or major structural events.	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.