手法を比較

	時間変動パラメータGranger因果性	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	1969 (Granger); TVP extension ~2005	1980
提唱者	C.W.J. Granger (causality concept); TVP extension developed by Primiceri (2005) and subsequent literature	Christopher A. Sims
種類	Causality test / time-varying model	Multivariate time-series model
原典	Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
別名	TVP Granger causality, rolling-window Granger causality, time-varying Granger test, dynamic Granger causality	VAR, VAR model, vector autoregressive model, multivariate autoregression
関連	4	5
概要	Time-varying parameter Granger causality extends the classical Granger causality framework by allowing the predictive relationships between time series to evolve across time. Instead of assuming fixed causal effects, the model estimates causal coefficients that can shift, capturing structural breaks, regime changes, or gradual evolution in economic or financial relationships.	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.