手法を比較

	構造的ブレーク構造ベクトル自己回帰モデル	構造変化を伴うベクトル誤差修正モデル（SB-VECM）
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	1980–2000s	1996–2000
提唱者	Sims (1980) for SVAR; structural break extensions developed throughout 1990s–2000s	Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000)
種類	Multivariate time-series model with regime change	Multivariate error correction model with structural breaks
原典	Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48.	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126.
別名	break-SVAR, SVAR with regime change, structural break structural VAR, SB-SVAR	SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM
関連	6	5
概要	The structural break SVAR model extends the standard Structural Vector Autoregression by allowing one or more discrete shifts in the system's parameters across time. It simultaneously identifies causal (structural) shocks and accounts for regime changes — such as policy shifts, crises, or institutional reforms — that alter the dynamics among multiple time series.	The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes.