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| Strukturell break SVAR-modell× | Strukturell vektorautoregression (SVAR)× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1980–2000s | 1980 |
| Upphovsperson≠ | Sims (1980) for SVAR; structural break extensions developed throughout 1990s–2000s | Sims (1980); identification schemes by Blanchard & Quah (1989) |
| Typ≠ | Multivariate time-series model with regime change | Multivariate time series model |
| Ursprungskälla≠ | Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48. DOI ↗ | Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673. link ↗ |
| Alias | break-SVAR, SVAR with regime change, structural break structural VAR, SB-SVAR | SVAR, structural vector autoregression, identified VAR, structural VAR model |
| Närliggande≠ | 6 | 5 |
| Sammanfattning≠ | The structural break SVAR model extends the standard Structural Vector Autoregression by allowing one or more discrete shifts in the system's parameters across time. It simultaneously identifies causal (structural) shocks and accounts for regime changes — such as policy shifts, crises, or institutional reforms — that alter the dynamics among multiple 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. |
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