Záznam dôkazov metódy

Nonlinear VAR Model

The Nonlinear VAR (NLVAR) model extends the standard vector autoregression by allowing the dynamic relationships among multiple time series to switch or change smoothly depending on an observed threshold variable, a latent regime state, or a smooth transition function. It is used when economic systems exhibit asymmetric responses, regime shifts, or state-dependent dynamics that a linear VAR cannot capture.

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Nonlinear Vector Autoregression Model

Taxonomický záznam metódy · regression-model / econometrics

Tsay, R. S. (1998). Testing and modeling multivariate threshold models. Journal of the American Statistical Association, 93(443), 1188–1202. · DOI 10.1080/01621459.1998.10473779
Krolzig, H.-M. (1997). Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis. Springer. · ISBN 978-3540628644

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Taxonomic bucketNonlinear ARDLmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketStructural VARmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketVector Autoregressionmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketVector Error Correction Modelmachine-suggested · Relational suggestion, not evidence.