Comparer des méthodes

	Modèle VAR Structurel à Paramètres Variant dans le Temps (TVP-SVAR)	Modèle VAR à Paramètres Variants dans le Temps (TVP-VAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2005	2005
Auteur d'origine	Giorgio E. Primiceri	Primiceri (2005); Cogley & Sargent (2001, 2005)
Type	Bayesian state-space SVAR	Multivariate time-series model with drifting coefficients
Source fondatrice	Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821–852.	Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821-852.
Alias	TVP-SVAR, time-varying SVAR, drifting-parameter SVAR, TVP structural VAR	TVP-VAR, time-varying VAR, TV-VAR, drifting-coefficient VAR
Apparentées	2	6
Résumé	The Time-Varying Parameter Structural VAR (TVP-SVAR) model extends classical structural VARs by allowing both the reduced-form coefficients and the structural impact matrix to evolve continuously over time. Estimated via Bayesian MCMC, it captures shifting transmission mechanisms and heteroscedastic volatility — making it the workhorse for empirical macroeconomics when policy regimes and economic relationships change.	The Time-Varying Parameter VAR (TVP-VAR) model extends the standard vector autoregression by allowing the coefficients and error covariances to evolve gradually over time. Estimated via Bayesian methods and MCMC simulation, it captures how dynamic relationships between macroeconomic or financial variables shift across different economic regimes without requiring pre-specified break points.