Porovnať metódy
Prezrite si vybrané metódy vedľa seba; riadky, ktoré sa líšia, sú zvýraznené.
| Model AR so štrukturálnymi zlomami× | Vektorový model korekcie chýb so štrukturálnymi zlomami (SB-VECM)× | |
|---|---|---|
| Odbor | Ekonometria | Ekonometria |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1989-2003 | 1996–2000 |
| Tvorca≠ | Perron (1989); Bai & Perron (1998, 2003) | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) |
| Typ≠ | Time-series model with structural change | Multivariate error correction model with structural breaks |
| Pôvodný zdroj≠ | Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1-22. DOI ↗ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ |
| Ďalšie názvy | AR model with structural change, breakpoint AR model, piecewise autoregressive model, AR model with regime shifts | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM |
| Príbuzné≠ | 6 | 5 |
| Zhrnutie≠ | The structural break AR model extends the standard autoregressive framework by allowing the intercept and autoregressive coefficients to shift at one or more unknown break dates. Each regime between consecutive break points is governed by its own AR parameters, capturing abrupt changes in the dynamics of a time series caused by crises, policy shifts, or other shocks. | The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. |
| ScholarGateDátová sada ↗ |
|
|