Comparer des méthodes

	Modèle VAR à ruptures structurelles	Autorégression Vectorielle Structurelle (SVAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1980–1998	1980
Auteur d'origine	Bai & Perron (structural breaks); Sims (VAR framework)	Sims (1980); identification schemes by Blanchard & Quah (1989)
Type	Multivariate time series model with regime change	Multivariate time series model
Source fondatrice	Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78.	Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673.
Alias	VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR	SVAR, structural vector autoregression, identified VAR, structural VAR model
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.	Structural VAR extends the reduced-form VAR by imposing economic theory-based restrictions that identify orthogonal structural shocks. This allows researchers to disentangle the causal effects of distinct economic disturbances — such as supply versus demand shocks — and trace their dynamic propagation through a system of variables via impulse response functions and forecast error variance decompositions.