Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Модель Марковського перемикання режимів (MS-AR / MS-VAR)× | Регресія звичайно найменших квадратів (ЗНК)× | Порогова та згладжена VAR (TVAR / STVAR)× | |
|---|---|---|---|
| Галузь | Економетрика | Економетрика | Економетрика |
| Родина | Regression model | Regression model | Regression model |
| Рік появи≠ | 1989 | 2019 | 1998 |
| Автор методу≠ | Hamilton (1989); Kim & Nelson (1999) | Wooldridge (textbook treatment); classical least squares | Tsay (multivariate threshold modelling) |
| Тип≠ | Regime-switching time series model | Linear regression | Nonlinear multivariate time-series model |
| Основоположне джерело≠ | Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 | Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202. DOI ↗ |
| Інші назви≠ | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu | TVAR, STVAR, regime-switching VAR, threshold VAR |
| Пов'язані | 5 | 5 | 5 |
| Підсумок≠ | 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. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). | 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. |
| ScholarGateНабір даних ↗ |
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