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| Modello VAR Non Lineare× | Autoregressione Vettoriale (VAR)× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 1990s–2000s | 1980 |
| Ideatore≠ | Tsay (1998); Krolzig (1997); Tong (1990) for threshold framework | Christopher A. Sims |
| Tipo≠ | Multivariate nonlinear time series model | Multivariate time-series model |
| Fonte seminale≠ | Tsay, R. S. (1998). Testing and modeling multivariate threshold models. Journal of the American Statistical Association, 93(443), 1188–1202. DOI ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Alias | NLVAR, nonlinear vector autoregression, threshold VAR, TVAR | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Correlati≠ | 4 | 5 |
| Sintesi≠ | The Nonlinear VAR (NLVAR) model extends the standard vector autoregression by allowing the dynamic relationships among multiple time series to switch or change smoothly depending on an observed threshold variable, a latent regime state, or a smooth transition function. It is used when economic systems exhibit asymmetric responses, regime shifts, or state-dependent dynamics that a linear VAR cannot capture. | Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance. |
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