Confronta i metodi

	Vector Autoregressione Aumentato da Fattori (FAVAR)	Modello a commutazione di regime di Markov (MS-AR / MS-VAR)	Regression with Ordinary Least Squares (OLS)	Modello di Autoregressione Vettoriale (VAR)
Campo	Econometria	Econometria	Econometria	Econometria
Famiglia	Regression model	Regression model	Regression model	Regression model
Anno di origine	2005	1989	2019	2005
Ideatore	Bernanke, Boivin & Eliasz (2005); building on Stock & Watson diffusion indexes	Hamilton (1989); Kim & Nelson (1999)	Wooldridge (textbook treatment); classical least squares	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
Tipo	Multivariate time-series model	Regime-switching time series model	Linear regression	Multivariate time-series model
Fonte seminale	Bernanke, B. S., Boivin, J. & Eliasz, P. (2005). Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach. The Quarterly Journal of Economics, 120(1), 387-422.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.	Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
Alias	factor-augmented VAR, FAVAR model, Faktör Artırımlı VAR (FAVAR)	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR	ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
Correlati	4	5	5	4
Sintesi	FAVAR is a multivariate time-series model that first compresses information from a very large set of variables into a few common factors, then includes those factors alongside the observed variables in a vector autoregression. It was introduced by Bernanke, Boivin and Eliasz in 2005 to study monetary policy using hundreds of macroeconomic indicators at once.	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.	Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE).	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).