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| Progowy i gładko-przejściowy VAR (TVAR / STVAR)× | Model Markowa z przełączaniem reżimów (MS-AR / MS-VAR)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1998 | 1989 |
| Twórca≠ | Tsay (multivariate threshold modelling) | Hamilton (1989); Kim & Nelson (1999) |
| Typ≠ | Nonlinear multivariate time-series model | Regime-switching time series model |
| Źródło pierwotne≠ | Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202. DOI ↗ | 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 ↗ |
| Inne nazwy | TVAR, STVAR, regime-switching VAR, threshold VAR | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR |
| Pokrewne | 5 | 5 |
| Podsumowanie≠ | Threshold VAR and Smooth-Transition VAR are nonlinear multivariate time-series models in which the coefficients of a vector autoregression switch between regimes according to a threshold variable. Building on Tsay's 1998 treatment of multivariate threshold models, they capture different dynamic structures across phases such as the business cycle, financial crises, or policy differences. | 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. |
| ScholarGateZbiór danych ↗ |
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