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	Robust Vektor Autoregression (Robust VAR) Modell	Strukturell vektorautoregression (SVAR)
Ämnesområde	Ekonometri	Ekonometri
Familj	Regression model	Regression model
Ursprungsår	1980s–2000s	1980
Upphovsperson	Extensions by Lutkepohl and others building on Sims (1980) VAR framework	Sims (1980); identification schemes by Blanchard & Quah (1989)
Typ	Multivariate time-series model with robust estimation	Multivariate time series model
Ursprungskälla	Goncalves, S., & Kilian, L. (2004). Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Journal of Econometrics, 123(1), 89-120.	Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673.
Alias	robust VAR, outlier-robust VAR, heavy-tailed VAR, RVAR	SVAR, structural vector autoregression, identified VAR, structural VAR model
Närliggande	5	5
Sammanfattning	The Robust VAR model extends the classical Vector Autoregression framework by replacing ordinary least squares estimation with robust estimators — such as M-estimators or median-based methods — to reduce the influence of outliers, structural breaks, and heavy-tailed shocks common in financial and macroeconomic time series.	Structural VAR extends the reduced-form VAR by imposing economic theory-based restrictions that identify orthogonal structural shocks. This allows researchers to disentangle the causal effects of distinct economic disturbances — such as supply versus demand shocks — and trace their dynamic propagation through a system of variables via impulse response functions and forecast error variance decompositions.