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| 구조적 분절 SVAR 모형× | 구조적 단절 ARDL 경계 검정× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1980–2000s | 2001–2010s |
| 창시자≠ | Sims (1980) for SVAR; structural break extensions developed throughout 1990s–2000s | Pesaran, Shin & Smith (bounds framework); structural break extensions by Bahmani-Oskooee, Enders & Jones, and others |
| 유형≠ | Multivariate time-series model with regime change | Cointegration / bounds test |
| 원전≠ | Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ |
| 별칭 | break-SVAR, SVAR with regime change, structural break structural VAR, SB-SVAR | SB-ARDL bounds test, ARDL bounds test with structural break, Fourier ARDL bounds test, break-augmented bounds testing |
| 관련 | 6 | 6 |
| 요약≠ | The structural break SVAR model extends the standard Structural Vector Autoregression by allowing one or more discrete shifts in the system's parameters across time. It simultaneously identifies causal (structural) shocks and accounts for regime changes — such as policy shifts, crises, or institutional reforms — that alter the dynamics among multiple time series. | The structural break ARDL bounds test extends the Pesaran, Shin and Smith (2001) bounds testing framework to accommodate one or more structural breaks in the long-run relationship between time-series variables. By incorporating break dummies or smooth Fourier terms into the ARDL error-correction equation, it allows researchers to test for cointegration even when the data have experienced shifts in intercept or slope caused by policy changes, crises, or regime switches. |
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