השוואת שיטות

	מודל פרמטרים משתנים בזמן מסוג MA (TVP-MA)	מודל אוטורגרסיבי עם פרמטרים משתנים בזמן (TVP-AR)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1990s	1976–2005
הוגה השיטה	Harvey, A. C.; Durbin, J. & Koopman, S. J.	Cooley & Prescott (1976); further developed by Kim & Nelson (1999) and Cogley & Sargent (2001, 2005)
סוג	Time-varying state-space model	Time-series model with drifting coefficients
מקור מכונן	Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. ISBN: 9780521321969	Cogley, T., & Sargent, T. J. (2005). Drifts and volatilities: Monetary policies and outcomes in the post WWII US. Review of Economic Dynamics, 8(2), 262-302.
כינויים	TVP-MA model, state-space MA, Kalman filter MA, time-varying MA	TVP-AR, time-varying AR, state-space AR with drifting coefficients, random-walk coefficient AR
קשורות	6	4
תקציר	The time-varying parameter moving average (TVP-MA) model extends the standard MA model by allowing the moving-average coefficients to change over time. Cast as a state-space system, it is estimated via the Kalman filter and smoother, making it well suited for series where the shock-transmission dynamics evolve across the sample.	The Time-Varying Parameter Autoregressive (TVP-AR) model extends the classical AR model by allowing its autoregressive coefficients to drift over time, typically as a random walk. Cast as a state-space system, the model captures gradual structural change in the dynamics of a univariate time series without imposing a fixed break date.