Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Autoregressores Vetoriais Estruturais (SVAR)× | Modelo de Vetores Autorregressivos (VAR)× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1980 | 2005 |
| Autor original≠ | Sims (1980); identification schemes by Blanchard & Quah (1989) | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Tipo≠ | Multivariate time series model | Multivariate time-series model |
| Fonte seminal≠ | Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673. link ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Outros nomes | SVAR, structural vector autoregression, identified VAR, structural VAR model | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Relacionados≠ | 5 | 4 |
| Resumo≠ | 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. | 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). |
| ScholarGateConjunto de dados ↗ |
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