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| Strukturell brott VAR-modell× | Vektorfelkorrigeringsmodell med strukturella brott (SB-VECM)× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1980–1998 | 1996–2000 |
| Upphovsperson≠ | Bai & Perron (structural breaks); Sims (VAR framework) | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) |
| Typ≠ | Multivariate time series model with regime change | Multivariate error correction model with structural breaks |
| Ursprungskälla≠ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ |
| Alias | VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM |
| Närliggande≠ | 6 | 5 |
| Sammanfattning≠ | The Structural Break VAR model extends the standard Vector Autoregression (VAR) framework by allowing coefficient matrices and error covariance to shift at one or more unknown break dates. It is designed for multivariate time series where economic relationships change abruptly due to policy shifts, financial crises, or major structural events. | The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. |
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