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| Strukturna vektorska autoregresija (SVAR)× | Model vektorske autoregresije (VAR)× | |
|---|---|---|
| Oblast | Ekonometrija | Ekonometrija |
| Porodica | Regression model | Regression model |
| Godina nastanka≠ | 1980 | 2005 |
| Tvorac≠ | Christopher Sims | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Tip≠ | Structural multivariate time-series model | Multivariate time-series model |
| Temeljni izvor≠ | Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Drugi nazivi | Structural VAR, Identified VAR, SVAR Model, Yapısal Vektör Otoregresyon | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Srodne≠ | 2 | 4 |
| Sažetak≠ | Structural Vector Autoregression (SVAR) is a multivariate time-series model, developed by Christopher Sims (1980), that extends the reduced-form VAR by imposing economically motivated identifying restrictions on contemporaneous relationships among variables. SVAR enables researchers to isolate orthogonal structural shocks and trace their causal dynamic effects through impulse response functions and forecast error variance decompositions, making it a cornerstone of modern empirical macroeconomics. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
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