Comparer des méthodes

	VAR Seuil et VAR à Transition Lisse (TVAR / STVAR)	Modèle de Vector Autoregression (VAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1998	2005
Auteur d'origine	Tsay (multivariate threshold modelling)	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
Type	Nonlinear multivariate time-series model	Multivariate time-series model
Source fondatrice	Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202.	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
Alias	TVAR, STVAR, regime-switching VAR, threshold VAR	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
Apparentées	5	4
Résumé	Threshold VAR and Smooth-Transition VAR are nonlinear multivariate time-series models in which the coefficients of a vector autoregression switch between regimes according to a threshold variable. Building on Tsay's 1998 treatment of multivariate threshold models, they capture different dynamic structures across phases such as the business cycle, financial crises, or policy differences.	Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005).