השוואת שיטות

	מודל אוטורגרסיה וקטורית מוגבר-גורמים (FAVAR)	רגרסיית ריבועים פחותים רגילים (OLS)	Threshold and Smooth-Transition VAR
תחום	אקונומטריקה	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model	Regression model
שנת המקור	2005	2019	1998
הוגה השיטה	Bernanke, Boivin & Eliasz (2005); building on Stock & Watson diffusion indexes	Wooldridge (textbook treatment); classical least squares	Tsay (multivariate threshold modelling)
סוג	Multivariate time-series model	Linear regression	Nonlinear multivariate time-series model
מקור מכונן	Bernanke, B. S., Boivin, J. & Eliasz, P. (2005). Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach. The Quarterly Journal of Economics, 120(1), 387-422.	Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860	Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202.
כינויים	factor-augmented VAR, FAVAR model, Faktör Artırımlı VAR (FAVAR)	ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu	TVAR, STVAR, regime-switching VAR, threshold VAR
קשורות	4	5	5
תקציר	FAVAR is a multivariate time-series model that first compresses information from a very large set of variables into a few common factors, then includes those factors alongside the observed variables in a vector autoregression. It was introduced by Bernanke, Boivin and Eliasz in 2005 to study monetary policy using hundreds of macroeconomic indicators at once.	Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE).	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.