Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Нелинейная структурная векторная авторегрессионная (NL-SVAR) модель× | Векторная авторегрессия (VAR)× | |
|---|---|---|
| Область | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1990s–2010s | 1980 |
| Автор метода≠ | Extensions by Koop, Potter, Auerbach, Gorodnichenko and others | Christopher A. Sims |
| Тип≠ | Multivariate nonlinear structural time series model | Multivariate 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 ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Другие названия | nonlinear structural VAR, NL-SVAR, threshold SVAR, regime-switching SVAR | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Связанные≠ | 6 | 5 |
| 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. | 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. |
| ScholarGateНабор данных ↗ |
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