Bandingkan metode
Tinjau metode pilihan Anda berdampingan; baris yang berbeda akan disorot.
| Autoregresi Vektor Bayesian (BVAR)× | Model Peralihan Rezim Markov (MS-AR / MS-VAR)× | |
|---|---|---|
| Bidang | Ekonometrika | Ekonometrika |
| Keluarga | Regression model | Regression model |
| Tahun asal≠ | 1986 | 1989 |
| Pencetus≠ | Litterman (1986); Bańbura, Giannone & Reichlin (2010) | Hamilton (1989); Kim & Nelson (1999) |
| Tipe≠ | Bayesian multivariate time-series model | Regime-switching time series model |
| Sumber perintis≠ | Litterman, R. B. (1986). Forecasting with Bayesian Vector Autoregressions—Five Years of Experience. Journal of Business & Economic Statistics, 4(1), 25-38. DOI ↗ | 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 ↗ |
| Alias≠ | BVAR, Bayesian vector autoregression, Minnesota prior VAR, Bayesian VAR (BVAR) | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR |
| Terkait | 5 | 5 |
| Ringkasan≠ | Bayesian VAR adds Minnesota or other prior distributions to a vector autoregressive model to control over-parameterisation. Introduced by Litterman (1986) and extended to high dimensions by Bańbura, Giannone and Reichlin (2010), it outperforms classical VAR on short series and high-dimensional macroeconomic forecasts. | 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. |
| ScholarGateSet data ↗ |
|
|