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| Model SVAR z punktowym załamaniem strukturalnym× | Model korekcji błędu wektorowego ze zmianami strukturalnymi (SB-VECM)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1980–2000s | 1996–2000 |
| Twórca≠ | Sims (1980) for SVAR; structural break extensions developed throughout 1990s–2000s | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) |
| Typ≠ | Multivariate time-series model with regime change | Multivariate error correction model with structural breaks |
| Źródło pierwotne≠ | Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48. DOI ↗ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ |
| Inne nazwy | break-SVAR, SVAR with regime change, structural break structural VAR, SB-SVAR | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM |
| Pokrewne≠ | 6 | 5 |
| Podsumowanie≠ | The structural break SVAR model extends the standard Structural Vector Autoregression by allowing one or more discrete shifts in the system's parameters across time. It simultaneously identifies causal (structural) shocks and accounts for regime changes — such as policy shifts, crises, or institutional reforms — that alter the dynamics among multiple time series. | The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. |
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