เปรียบเทียบวิธี

	FAVAR	แบบจำลองมาร์คอฟสลับระบอบ (MS-AR / MS-VAR)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	2005	1989
ผู้ริเริ่ม	Bernanke, Boivin & Eliasz (2005); building on Stock & Watson diffusion indexes	Hamilton (1989); Kim & Nelson (1999)
ประเภท	Multivariate time-series model	Regime-switching time series model
แหล่งต้นตำรับ	Bernanke, B. S., Boivin, J. & Eliasz, P. (2005). Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach. The Quarterly Journal of Economics, 120(1), 387-422.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
ชื่อเรียกอื่น	factor-augmented VAR, FAVAR model, Faktör Artırımlı VAR (FAVAR)	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR
ที่เกี่ยวข้อง	4	5
สรุป	FAVAR is a multivariate time-series model that first compresses information from a very large set of variables into a few common factors, then includes those factors alongside the observed variables in a vector autoregression. It was introduced by Bernanke, Boivin and Eliasz in 2005 to study monetary policy using hundreds of macroeconomic indicators at once.	The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions.