手法を比較

	パネルスムース・トランジション回帰	時間変動係数ファクター拡張VAR (Time-Varying Parameter Factor-Augmented VAR)
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	2005	2005
提唱者	Gonzalez, Terasvirta, and van Dijk	Bernanke, Boivin, and Eliasz
種類	Smooth-regime panel model	Time-varying system
原典	Gonzalez, A., Terasvirta, T., & van Dijk, D. (2005). Panel smooth transition regression models. Research Paper, Melbourne Institute of Applied Economic and Social Research.	Bernanke, B. S., Boivin, J., & Eliasz, P. S. (2005). Measuring monetary policy. Journal of Political Economy, 113(1), 161-208.
別名	Smooth-transition panel model	Dynamic factor model with time-varying parameters
関連	3	3
概要	Panel Smooth Transition Regression (PSTR) models nonlinear panel relationships where coefficients transition smoothly (rather than abruptly) between regimes as a transition variable crosses thresholds. Introduced by Gonzalez et al. (2005), it extends univariate smooth-transition autoregression (STAR) models to panels, capturing gradual shifts in economic behavior. This approach is realistic when adjustment costs cause smooth (not sudden) regime changes.	TVP-FAVAR is a hybrid framework combining factor-augmented VARs with time-varying parameter estimation via Kalman filtering. Introduced by Bernanke et al. (2005) and refined by Primiceri (2005), it extracts latent economic factors (e.g., a 'common monetary policy shock') from high-dimensional data while allowing VAR coefficients to evolve stochastically over time. This framework captures both reduced-dimensionality patterns and structural instability, making it ideal for studying evolving policy regimes and shock dynamics.