השוואת שיטות

	Threshold and Smooth-Transition VAR	מודל מיתוג-משטרים של מרקוב (MS-AR / MS-VAR)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1998	1989
הוגה השיטה	Tsay (multivariate threshold modelling)	Hamilton (1989); Kim & Nelson (1999)
סוג	Nonlinear multivariate time-series model	Regime-switching 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.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
כינויים	TVAR, STVAR, regime-switching VAR, threshold VAR	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR
קשורות	5	5
תקציר	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.	The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions.