Comparer des méthodes

	Modèle VAR à Paramètres Variants dans le Temps (TVP-VAR)	Autorégression Vectorielle Structurelle (SVAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2005	1980
Auteur d'origine	Primiceri (2005); Cogley & Sargent (2001, 2005)	Sims (1980); identification schemes by Blanchard & Quah (1989)
Type	Multivariate time-series model with drifting coefficients	Multivariate time series model
Source fondatrice	Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821-852.	Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673.
Alias	TVP-VAR, time-varying VAR, TV-VAR, drifting-coefficient VAR	SVAR, structural vector autoregression, identified VAR, structural VAR model
Apparentées	6	5
Résumé	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.	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.