Порівняння методів

	Global VAR	Threshold Panel VAR (Панельна векторна авторегресія з порогом)	Часові параметри з факторизаційним розширенням VAR
Галузь	Економетрика	Економетрика	Економетрика
Родина	Regression model	Regression model	Regression model
Рік появи	2004	1996	2005
Автор методу	Pesaran, Schuermann, and Weiner	Bruce Hansen and colleagues	Bernanke, Boivin, and Eliasz
Тип	International system model	Nonlinear panel model	Time-varying system
Основоположне джерело	Pesaran, M. H., Schuermann, T., & Weiner, S. M. (2004). Modeling regional interdependencies using a global error-correcting macroeconometric model. Journal of Business and Economic Statistics, 22(2), 129-162.	Hansen, B. E. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometric Theory, 12(3), 386-414.	Bernanke, B. S., Boivin, J., & Eliasz, P. S. (2005). Measuring monetary policy. Journal of Political Economy, 113(1), 161-208.
Інші назви	GVAR, Multi-country VAR	Panel-VAR with regime switching	Dynamic factor model with time-varying parameters
Пов'язані	3	3	3
Підсумок	Global VAR (GVAR) is a large-scale macroeconomic modeling framework linking multiple countries (or regions) via trade and financial channels, allowing shocks in one country to propagate through the global system. Introduced by Pesaran et al. (2004), it solves the curse of dimensionality in international VAR models by estimating country-specific VARs conditional on foreign variables, then solving a system linking all countries. This approach is invaluable for analyzing global spillovers and international policy coordination.	The Threshold Panel VAR extends the standard vector autoregression framework to accommodate regime-switching behavior where relationships change when a threshold variable crosses a critical level. Introduced by Hansen (1996) and applied to panels by Caner and Hansen (2001), it allows different dynamic relationships across regimes (e.g., expansions versus recessions) while exploiting the cross-sectional dimension of panel data. This nonlinear framework captures state-dependent policy effects and economic mechanisms.	TVP-FAVAR is a hybrid framework combining factor-augmented VARs with time-varying parameter estimation via Kalman filtering. Introduced by Bernanke et al. (2005) and refined by Primiceri (2005), it extracts latent economic factors (e.g., a 'common monetary policy shock') from high-dimensional data while allowing VAR coefficients to evolve stochastically over time. This framework captures both reduced-dimensionality patterns and structural instability, making it ideal for studying evolving policy regimes and shock dynamics.