手法を比較

	ベクトル誤差修正モデル（VECM）	構造的ベクトル自己回帰 (SVAR)
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	1987	1980
提唱者	Robert F. Engle and Clive W. J. Granger	Sims (1980); identification schemes by Blanchard & Quah (1989)
種類	Multivariate time-series model	Multivariate time series model
原典	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.	Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673.
別名	VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model	SVAR, structural vector autoregression, identified VAR, structural VAR model
関連	5	5
概要	The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series.	Structural VAR extends the reduced-form VAR by imposing economic theory-based restrictions that identify orthogonal structural shocks. This allows researchers to disentangle the causal effects of distinct economic disturbances — such as supply versus demand shocks — and trace their dynamic propagation through a system of variables via impulse response functions and forecast error variance decompositions.