Methoden vergelijken
Bekijk de geselecteerde methoden naast elkaar; rijen die verschillen zijn gemarkeerd.
| Markov Regime-Switching Model (MS-AR / MS-VAR)× | Vector Autoregressie (VAR)-model× | |
|---|---|---|
| Vakgebied | Econometrie | Econometrie |
| Familie | Regression model | Regression model |
| Jaar van ontstaan≠ | 1989 | 2005 |
| Grondlegger≠ | Hamilton (1989); Kim & Nelson (1999) | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Type≠ | Regime-switching time series model | Multivariate time-series model |
| Oorspronkelijke bron≠ | Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Aliassen≠ | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Verwant≠ | 5 | 4 |
| Samenvatting≠ | 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). |
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