Sammenlign metoder

	Bayesiansk vektorautoregresjon (BVAR)	Faktorforsterket vektorautoresjon (FAVAR)	Markov-regimeskiftmodell (MS-AR / MS-VAR)	Minste kvadraters metode (OLS)
Fagfelt	Økonometri	Økonometri	Økonometri	Økonometri
Familie	Regression model	Regression model	Regression model	Regression model
Opprinnelsesår	1986	2005	1989	2019
Opphavsperson	Litterman (1986); Bańbura, Giannone & Reichlin (2010)	Bernanke, Boivin & Eliasz (2005); building on Stock & Watson diffusion indexes	Hamilton (1989); Kim & Nelson (1999)	Wooldridge (textbook treatment); classical least squares
Type	Bayesian multivariate time-series model	Multivariate time-series model	Regime-switching time series model	Linear regression
Opprinnelig kilde	Litterman, R. B. (1986). Forecasting with Bayesian Vector Autoregressions—Five Years of Experience. Journal of Business & Economic Statistics, 4(1), 25-38.	Bernanke, B. S., Boivin, J. & Eliasz, P. (2005). Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach. The Quarterly Journal of Economics, 120(1), 387-422.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.	Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860
Alias	BVAR, Bayesian vector autoregression, Minnesota prior VAR, Bayesian VAR (BVAR)	factor-augmented VAR, FAVAR model, Faktör Artırımlı VAR (FAVAR)	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR	ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu
Relaterte	5	4	5	5
Sammendrag	Bayesian VAR adds Minnesota or other prior distributions to a vector autoregressive model to control over-parameterisation. Introduced by Litterman (1986) and extended to high dimensions by Bańbura, Giannone and Reichlin (2010), it outperforms classical VAR on short series and high-dimensional macroeconomic forecasts.	FAVAR is a multivariate time-series model that first compresses information from a very large set of variables into a few common factors, then includes those factors alongside the observed variables in a vector autoregression. It was introduced by Bernanke, Boivin and Eliasz in 2005 to study monetary policy using hundreds of macroeconomic indicators at once.	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.	Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE).