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| Vanligaste minsta kvadratmetoden (OLS) Regression× | Tröskel- och glidande övergångs-VAR (TVAR / STVAR)× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 2019 | 1998 |
| Upphovsperson≠ | Wooldridge (textbook treatment); classical least squares | Tsay (multivariate threshold modelling) |
| Typ≠ | Linear regression | Nonlinear multivariate time-series model |
| Ursprungskälla≠ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 | Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202. DOI ↗ |
| Alias≠ | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu | TVAR, STVAR, regime-switching VAR, threshold VAR |
| Närliggande | 5 | 5 |
| Sammanfattning≠ | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). | Threshold VAR and Smooth-Transition VAR are nonlinear multivariate time-series models in which the coefficients of a vector autoregression switch between regimes according to a threshold variable. Building on Tsay's 1998 treatment of multivariate threshold models, they capture different dynamic structures across phases such as the business cycle, financial crises, or policy differences. |
| ScholarGateDatamängd ↗ |
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