手法を比較

	非線形自己回帰（NAR）モデル	非線形ベクトル誤差修正モデル（非線形VECM）
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	1978-1990	1989–1998
提唱者	Tong, H. (threshold AR); Terasvirta, T. (STAR variant)	Granger & Lee (1989); Enders & Granger (1998)
種類	Nonlinear time series model	Nonlinear time-series model
原典	Tong, H. (1990). Non-Linear Time Series: A Dynamical System Approach. Oxford University Press. ISBN: 9780198522201	Enders, W., & Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304–311.
別名	NAR model, nonlinear autoregression, NLAR, threshold autoregressive model	nonlinear VECM, NVECM, threshold VECM, asymmetric VECM
関連	6	2
概要	The Nonlinear AR model extends the classical autoregressive framework by allowing the mapping from past values to the current value to follow an arbitrary or regime-switching nonlinear function. Major families include the Self-Exciting Threshold AR (SETAR), Smooth Transition AR (STAR), and neural network AR, each capturing different forms of asymmetry, regime shifts, or smooth nonlinear dynamics in univariate time series.	The Nonlinear VECM extends the standard linear VECM by allowing the speed of adjustment toward long-run equilibrium to differ depending on the sign, magnitude, or regime of deviations from that equilibrium. It captures asymmetric or threshold-driven dynamics in cointegrated time-series systems that a standard VECM would miss.