Comparer des méthodes

	Modèle Vector Error Correction avec Ruptures Structurelles (SB-VECM)	Modèle VAR à ruptures structurelles
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1996–2000	1980–1998
Auteur d'origine	Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000)	Bai & Perron (structural breaks); Sims (VAR framework)
Type	Multivariate error correction model with structural breaks	Multivariate time series model with regime change
Source fondatrice	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126.	Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78.
Alias	SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM	VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR
Apparentées	5	6
Résumé	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.	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.