Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Causalidade de Granger com Parâmetros Variáveis no Tempo× | Autoregressores Vetoriais (VAR)× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1969 (Granger); TVP extension ~2005 | 1980 |
| Autor original≠ | C.W.J. Granger (causality concept); TVP extension developed by Primiceri (2005) and subsequent literature | Christopher A. Sims |
| Tipo≠ | Causality test / time-varying model | Multivariate time-series model |
| Fonte seminal≠ | Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438. DOI ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Outros nomes | TVP Granger causality, rolling-window Granger causality, time-varying Granger test, dynamic Granger causality | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Relacionados≠ | 4 | 5 |
| Resumo≠ | 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. | Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance. |
| ScholarGateConjunto de dados ↗ |
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