השוואת שיטות

	מודל וקטור אוטורגרסיבי לא-לינארי	מודל תיקון שגיאות וקטורי (VECM)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1990s–2000s	1987
הוגה השיטה	Tsay (1998); Krolzig (1997); Tong (1990) for threshold framework	Robert F. Engle and Clive W. J. Granger
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.	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.
כינויים	NLVAR, nonlinear vector autoregression, threshold VAR, TVAR	VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model
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.	The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series.