เปรียบเทียบวิธี

	FAVAR	Threshold and Smooth-Transition VAR
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	2005	1998
ผู้ริเริ่ม	Bernanke, Boivin & Eliasz (2005); building on Stock & Watson diffusion indexes	Tsay (multivariate threshold modelling)
ประเภท	Multivariate time-series model	Nonlinear multivariate 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.	Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202.
ชื่อเรียกอื่น	factor-augmented VAR, FAVAR model, Faktör Artırımlı VAR (FAVAR)	TVAR, STVAR, regime-switching VAR, threshold 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.	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.