เปรียบเทียบวิธี

	Bayesian Vector Autoregression (BVAR)	Threshold and Smooth-Transition VAR
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	1986	1998
ผู้ริเริ่ม	Litterman (1986); Bańbura, Giannone & Reichlin (2010)	Tsay (multivariate threshold modelling)
ประเภท	Bayesian multivariate time-series model	Nonlinear multivariate time-series model
แหล่งต้นตำรับ	Litterman, R. B. (1986). Forecasting with Bayesian Vector Autoregressions—Five Years of Experience. Journal of Business & Economic Statistics, 4(1), 25-38.	Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202.
ชื่อเรียกอื่น	BVAR, Bayesian vector autoregression, Minnesota prior VAR, Bayesian VAR (BVAR)	TVAR, STVAR, regime-switching VAR, threshold VAR
ที่เกี่ยวข้อง	5	5
สรุป	Bayesian VAR adds Minnesota or other prior distributions to a vector autoregressive model to control over-parameterisation. Introduced by Litterman (1986) and extended to high dimensions by Bańbura, Giannone and Reichlin (2010), it outperforms classical VAR on short series and high-dimensional macroeconomic forecasts.	Threshold VAR and Smooth-Transition VAR are nonlinear multivariate time-series models in which the coefficients of a vector autoregression switch between regimes according to a threshold variable. Building on Tsay's 1998 treatment of multivariate threshold models, they capture different dynamic structures across phases such as the business cycle, financial crises, or policy differences.