Jämför metoder
Granska de valda metoderna sida vid sida; rader som skiljer sig är markerade.
| Icke-linjärt VAR-modell× | Vektorfelkorrigeringsmodell (VECM)× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1990s–2000s | 1987 |
| Upphovsperson≠ | Tsay (1998); Krolzig (1997); Tong (1990) for threshold framework | Robert F. Engle and Clive W. J. Granger |
| Typ≠ | Multivariate nonlinear time series model | Multivariate time-series model |
| Ursprungskälla≠ | Tsay, R. S. (1998). Testing and modeling multivariate threshold models. Journal of the American Statistical Association, 93(443), 1188–1202. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Alias | NLVAR, nonlinear vector autoregression, threshold VAR, TVAR | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Närliggande≠ | 4 | 5 |
| Sammanfattning≠ | 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. | The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series. |
| ScholarGateDatamängd ↗ |
|
|