Krahasoni metodat

	Vektori Autoregresiv me Faktorë të Shtuar (FAVAR)	Modeli Markov me ndërrim regjimi (MS-AR / MS-VAR)
Fusha	Ekonometri	Ekonometri
Familja	Regression model	Regression model
Viti i origjinës	2005	1989
Krijuesi	Bernanke, Boivin & Eliasz (2005); building on Stock & Watson diffusion indexes	Hamilton (1989); Kim & Nelson (1999)
Lloji	Multivariate time-series model	Regime-switching time series model
Burimi themelues	Bernanke, B. S., Boivin, J. & Eliasz, P. (2005). Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach. The Quarterly Journal of Economics, 120(1), 387-422.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
Emërtime të tjera	factor-augmented VAR, FAVAR model, Faktör Artırımlı VAR (FAVAR)	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR
Të lidhura	4	5
Përmbledhja	FAVAR is a multivariate time-series model that first compresses information from a very large set of variables into a few common factors, then includes those factors alongside the observed variables in a vector autoregression. It was introduced by Bernanke, Boivin and Eliasz in 2005 to study monetary policy using hundreds of macroeconomic indicators at once.	The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions.