Methoden vergelijken

	Tijdsvariërende parameter Granger-causaliteit	Structurele Vector Autoregressie (SVAR)
Vakgebied	Econometrie	Econometrie
Familie	Regression model	Regression model
Jaar van ontstaan	1969 (Granger); TVP extension ~2005	1980
Grondlegger	C.W.J. Granger (causality concept); TVP extension developed by Primiceri (2005) and subsequent literature	Sims (1980); identification schemes by Blanchard & Quah (1989)
Type	Causality test / time-varying model	Multivariate time series model
Oorspronkelijke bron	Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438.	Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673.
Aliassen	TVP Granger causality, rolling-window Granger causality, time-varying Granger test, dynamic Granger causality	SVAR, structural vector autoregression, identified VAR, structural VAR model
Verwant	4	5
Samenvatting	Time-varying parameter Granger causality extends the classical Granger causality framework by allowing the predictive relationships between time series to evolve across time. Instead of assuming fixed causal effects, the model estimates causal coefficients that can shift, capturing structural breaks, regime changes, or gradual evolution in economic or financial relationships.	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.