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| マルコフ体制スイッチングモデル (MS-AR / MS-VAR)× | ベクトル自己回帰 (VAR)× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1989 | 1980 |
| 提唱者≠ | Hamilton (1989); Kim & Nelson (1999) | Christopher A. Sims |
| 種類≠ | Regime-switching time series model | 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. DOI ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| 別名≠ | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| 関連 | 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. | 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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