Threshold VAR (TVAR) na Smooth-Transition VAR (STVAR)
Threshold VAR na Smooth-Transition VAR ni modeli za muda mfululizo zisizo za mstari zenye vigezo vingi ambapo mgawo wa ubashiri wa vekta hubadilika kati ya vipindi kulingana na kigezo cha kizingiti. Wakijenga juu ya matibabu ya Tsay ya 1998 ya miundo ya kizingiti yenye vigezo vingi, wanakamata miundo tofauti ya mienendo katika awamu kama vile mzunguko wa biashara, migogoro ya kifedha, au tofauti za sera.
Soma mbinu kamili
Ingia kwa akaunti ya bure ili kusoma sehemu hii.
Method map
The neighbourhood of related methods — select a node to explore.
Vyanzo
- Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202. DOI: 10.1080/01621459.1998.10473779 ↗
- Balcilar, M. et al. (2017). Regime-Dependent Effects of Uncertainty Shocks. Economic Modelling. link ↗
Jinsi ya kunukuu ukurasa huu
ScholarGate. (2026, June 1). Threshold Vector Autoregression and Smooth-Transition Vector Autoregression (TVAR / STVAR). ScholarGate. https://scholargate.app/sw/econometrics/stvar
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Kipimo cha ARCH-LM kwa Makundi ya KutikisikaEkonometriki↔ compare
- Exponential GARCH (EGARCH)Ekonometriki↔ compare
- GJR-GARCH (GARCH Asymmetric)Ekonometriki↔ compare
- Mfumo wa Mabadiliko ya Mazinatio ya Markov (MS-AR / MS-VAR)Ekonometriki↔ compare
- Muundo wa Uhusiano wa Kiotomatiki wa Vecta (VAR)Ekonometriki↔ compare
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