השוואת שיטות

	מודל וקטור אוטורגרסיבי לא-לינארי	Autoregression Vector (VAR)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1990s–2000s	1980
הוגה השיטה	Tsay (1998); Krolzig (1997); Tong (1990) for threshold framework	Christopher A. Sims
סוג	Multivariate nonlinear time series model	Multivariate time-series model
מקור מכונן	Tsay, R. S. (1998). Testing and modeling multivariate threshold models. Journal of the American Statistical Association, 93(443), 1188–1202.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
כינויים	NLVAR, nonlinear vector autoregression, threshold VAR, TVAR	VAR, VAR model, vector autoregressive model, multivariate autoregression
קשורות	4	5
תקציר	The Nonlinear VAR (NLVAR) model extends the standard vector autoregression by allowing the dynamic relationships among multiple time series to switch or change smoothly depending on an observed threshold variable, a latent regime state, or a smooth transition function. It is used when economic systems exhibit asymmetric responses, regime shifts, or state-dependent dynamics that a linear VAR cannot capture.	Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance.