विधियों की तुलना करें
चुनी हुई विधियों की आमने-सामने समीक्षा करें; भिन्नता वाली पंक्तियाँ रेखांकित हैं।
| मार्कोव रेजीम-स्विचिंग मॉडल (MS-AR / MS-VAR)× | वेक्टर ऑटोरिग्रेशन (VAR) मॉडल× | |
|---|---|---|
| क्षेत्र | अर्थमिति | अर्थमिति |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष≠ | 1989 | 2005 |
| प्रवर्तक≠ | Hamilton (1989); Kim & Nelson (1999) | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| प्रकार≠ | Regime-switching time series model | Multivariate time-series model |
| मौलिक स्रोत≠ | Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| उपनाम≠ | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| संबंधित≠ | 5 | 4 |
| सारांश≠ | 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. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
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