방법 비교

	ARIMA (Autoregressive Integrated Moving Average) 모형	마르코프 정권 전환 모형 (MS-AR / MS-VAR)	구조 시계열 모형 (기본 구조 모형)
분야	계량경제학	계량경제학	계량경제학
계열	Regression model	Regression model	Regression model
기원 연도	2015	1989	1990
창시자	Box & Jenkins (Box-Jenkins methodology)	Hamilton (1989); Kim & Nelson (1999)	Andrew C. Harvey
유형	Univariate time-series model	Regime-switching time series model	State-space (unobserved components) time series model
원전	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.	Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. ISBN: 978-0521405737
별칭	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR	BSM, basic structural model, unobserved components model, Yapısal Zaman Serisi Modeli (BSM)
관련	5	5	4
요약	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).	The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions.	The Structural Time Series Model, in its Basic Structural Model (BSM) form, is Andrew Harvey's state-space approach that decomposes a series into separate stochastic trend, seasonal, cyclical, and irregular components. Developed in Harvey's 1990 treatment, it is prized for interpretability and component decomposition where ARIMA only delivers a black-box fit.