Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Нелинейная структурная векторная авторегрессионная (NL-SVAR) модель× | Нелинейная модель коррекции ошибок вектора (Nonlinear VECM)× | |
|---|---|---|
| Область | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1990s–2010s | 1989–1998 |
| Автор метода≠ | Extensions by Koop, Potter, Auerbach, Gorodnichenko and others | Granger & Lee (1989); Enders & Granger (1998) |
| Тип≠ | Multivariate nonlinear structural time series model | Nonlinear time-series model |
| Основополагающий источник≠ | Koop, G., & Korobilis, D. (2010). Bayesian multivariate time series methods for empirical macroeconomics. Foundations and Trends in Econometrics, 3(4), 267–358. DOI ↗ | Enders, W., & Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304–311. DOI ↗ |
| Другие названия | nonlinear structural VAR, NL-SVAR, threshold SVAR, regime-switching SVAR | nonlinear VECM, NVECM, threshold VECM, asymmetric VECM |
| Связанные≠ | 6 | 2 |
| Сводка≠ | The Nonlinear Structural VAR model extends the standard SVAR framework to allow structural relationships and dynamic responses to vary across economic regimes or states of the world. By imposing nonlinear transition mechanisms — such as threshold switching or smooth regime change — it captures asymmetric responses to shocks that a linear SVAR cannot detect. | The Nonlinear VECM extends the standard linear VECM by allowing the speed of adjustment toward long-run equilibrium to differ depending on the sign, magnitude, or regime of deviations from that equilibrium. It captures asymmetric or threshold-driven dynamics in cointegrated time-series systems that a standard VECM would miss. |
| ScholarGateНабор данных ↗ |
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