방법 비교

	마르코프 정권 전환 모형 (MS-AR / MS-VAR)	Vector Autoregression (VAR) Model
분야	계량경제학	계량경제학
계열	Regression model	Regression model
기원 연도	1989	2005
창시자	Hamilton (1989); Kim & Nelson (1999)	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
유형	Regime-switching time series model	Multivariate time-series model
원전	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
별칭	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
관련	5	4
요약	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.	Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005).