방법 비교

	Threshold Panel VAR	글로벌 VAR	패널 평활 전환 회귀
분야	계량경제학	계량경제학	계량경제학
계열	Regression model	Regression model	Regression model
기원 연도	1996	2004	2005
창시자	Bruce Hansen and colleagues	Pesaran, Schuermann, and Weiner	Gonzalez, Terasvirta, and van Dijk
유형	Nonlinear panel model	International system model	Smooth-regime panel model
원전	Hansen, B. E. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometric Theory, 12(3), 386-414.	Pesaran, M. H., Schuermann, T., & Weiner, S. M. (2004). Modeling regional interdependencies using a global error-correcting macroeconometric model. Journal of Business and Economic Statistics, 22(2), 129-162.	Gonzalez, A., Terasvirta, T., & van Dijk, D. (2005). Panel smooth transition regression models. Research Paper, Melbourne Institute of Applied Economic and Social Research.
별칭	Panel-VAR with regime switching	GVAR, Multi-country VAR	Smooth-transition panel model
관련	3	3	3
요약	The Threshold Panel VAR extends the standard vector autoregression framework to accommodate regime-switching behavior where relationships change when a threshold variable crosses a critical level. Introduced by Hansen (1996) and applied to panels by Caner and Hansen (2001), it allows different dynamic relationships across regimes (e.g., expansions versus recessions) while exploiting the cross-sectional dimension of panel data. This nonlinear framework captures state-dependent policy effects and economic mechanisms.	Global VAR (GVAR) is a large-scale macroeconomic modeling framework linking multiple countries (or regions) via trade and financial channels, allowing shocks in one country to propagate through the global system. Introduced by Pesaran et al. (2004), it solves the curse of dimensionality in international VAR models by estimating country-specific VARs conditional on foreign variables, then solving a system linking all countries. This approach is invaluable for analyzing global spillovers and international policy coordination.	Panel Smooth Transition Regression (PSTR) models nonlinear panel relationships where coefficients transition smoothly (rather than abruptly) between regimes as a transition variable crosses thresholds. Introduced by Gonzalez et al. (2005), it extends univariate smooth-transition autoregression (STAR) models to panels, capturing gradual shifts in economic behavior. This approach is realistic when adjustment costs cause smooth (not sudden) regime changes.