방법 비교

	Vector Autoregression (VAR)	구조적 벡터 자기회귀 (SVAR)
분야	계량경제학	계량경제학
계열	Regression model	Regression model
기원 연도	1980	1980
창시자	Christopher A. Sims	Sims (1980); identification schemes by Blanchard & Quah (1989)
유형	Multivariate time-series model	Multivariate time series model
원전	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.	Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673.
별칭	VAR, VAR model, vector autoregressive model, multivariate autoregression	SVAR, structural vector autoregression, identified VAR, structural VAR model
관련	5	5
요약	Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance.	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.