手法を比較

	マルコフ体制スイッチングモデル (MS-AR / MS-VAR)	最小二乗法 (OLS) 回帰	閾値およびスムーズ遷移VAR（TVAR / STVAR）
分野	計量経済学	計量経済学	計量経済学
系統	Regression model	Regression model	Regression model
提唱年	1989	2019	1998
提唱者	Hamilton (1989); Kim & Nelson (1999)	Wooldridge (textbook treatment); classical least squares	Tsay (multivariate threshold modelling)
種類	Regime-switching time series model	Linear regression	Nonlinear multivariate time-series model
原典	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	Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202.
別名	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR	ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu	TVAR, STVAR, regime-switching VAR, threshold VAR
関連	5	5	5
概要	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).	Threshold VAR and Smooth-Transition VAR are nonlinear multivariate time-series models in which the coefficients of a vector autoregression switch between regimes according to a threshold variable. Building on Tsay's 1998 treatment of multivariate threshold models, they capture different dynamic structures across phases such as the business cycle, financial crises, or policy differences.