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| Modello VAR Strutturale a Parametri Variabili nel Tempo (TVP-SVAR)× | Modello VAR a Parametri Variabili nel Tempo (TVP-VAR)× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine | 2005 | 2005 |
| Ideatore≠ | Giorgio E. Primiceri | Primiceri (2005); Cogley & Sargent (2001, 2005) |
| Tipo≠ | Bayesian state-space SVAR | Multivariate time-series model with drifting coefficients |
| Fonte seminale≠ | Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821–852. DOI ↗ | Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821-852. DOI ↗ |
| Alias | TVP-SVAR, time-varying SVAR, drifting-parameter SVAR, TVP structural VAR | TVP-VAR, time-varying VAR, TV-VAR, drifting-coefficient VAR |
| Correlati≠ | 2 | 6 |
| Sintesi≠ | The Time-Varying Parameter Structural VAR (TVP-SVAR) model extends classical structural VARs by allowing both the reduced-form coefficients and the structural impact matrix to evolve continuously over time. Estimated via Bayesian MCMC, it captures shifting transmission mechanisms and heteroscedastic volatility — making it the workhorse for empirical macroeconomics when policy regimes and economic relationships change. | The Time-Varying Parameter VAR (TVP-VAR) model extends the standard vector autoregression by allowing the coefficients and error covariances to evolve gradually over time. Estimated via Bayesian methods and MCMC simulation, it captures how dynamic relationships between macroeconomic or financial variables shift across different economic regimes without requiring pre-specified break points. |
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