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| Vektorfelkorrigeringsmodell med strukturella brott (SB-VECM)× | Strukturell brott VAR-modell× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1996–2000 | 1980–1998 |
| Upphovsperson≠ | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) | Bai & Perron (structural breaks); Sims (VAR framework) |
| Typ≠ | Multivariate error correction model with structural breaks | Multivariate time series model with regime change |
| Ursprungskälla≠ | 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 ↗ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗ |
| Alias | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM | VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR |
| Närliggande≠ | 5 | 6 |
| Sammanfattning≠ | 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. | 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. |
| ScholarGateDatamängd ↗ |
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