手法を比較

	時変パラメータSVARモデル (TVP-SVAR)	時間変動係数VARモデル（TVP-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	Giorgio E. Primiceri	Primiceri (2005); Cogley & Sargent (2001, 2005)
種類	Bayesian state-space SVAR	Multivariate time-series model with drifting coefficients
原典	Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821–852.	Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821-852.
別名	TVP-SVAR, time-varying SVAR, drifting-parameter SVAR, TVP structural VAR	TVP-VAR, time-varying VAR, TV-VAR, drifting-coefficient VAR
関連	2	6
概要	The Time-Varying Parameter Structural VAR (TVP-SVAR) model extends classical structural VARs by allowing both the reduced-form coefficients and the structural impact matrix to evolve continuously over time. Estimated via Bayesian MCMC, it captures shifting transmission mechanisms and heteroscedastic volatility — making it the workhorse for empirical macroeconomics when policy regimes and economic relationships change.	The Time-Varying Parameter VAR (TVP-VAR) model extends the standard vector autoregression by allowing the coefficients and error covariances to evolve gradually over time. Estimated via Bayesian methods and MCMC simulation, it captures how dynamic relationships between macroeconomic or financial variables shift across different economic regimes without requiring pre-specified break points.