השוואת שיטות

	מודל VAR של שבר מבני	מודל תיקון שגיאות וקטורי (VECM)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1980–1998	1987
הוגה השיטה	Bai & Perron (structural breaks); Sims (VAR framework)	Robert F. Engle and Clive W. J. Granger
סוג	Multivariate time series model with regime change	Multivariate time-series model
מקור מכונן	Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78.	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.
כינויים	VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR	VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model
קשורות	6	5
תקציר	The Structural Break VAR model extends the standard Vector Autoregression (VAR) framework by allowing coefficient matrices and error covariance to shift at one or more unknown break dates. It is designed for multivariate time series where economic relationships change abruptly due to policy shifts, financial crises, or major structural events.	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.