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| Модель структурного розриву SVAR× | Модель структурних розривів ВАР× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1980–2000s | 1980–1998 |
| Автор методу≠ | Sims (1980) for SVAR; structural break extensions developed throughout 1990s–2000s | Bai & Perron (structural breaks); Sims (VAR framework) |
| Тип≠ | Multivariate time-series model with regime change | Multivariate time series model with regime change |
| Основоположне джерело≠ | Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48. DOI ↗ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗ |
| Інші назви | break-SVAR, SVAR with regime change, structural break structural VAR, SB-SVAR | VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR |
| Пов'язані | 6 | 6 |
| Підсумок≠ | The structural break SVAR model extends the standard Structural Vector Autoregression by allowing one or more discrete shifts in the system's parameters across time. It simultaneously identifies causal (structural) shocks and accounts for regime changes — such as policy shifts, crises, or institutional reforms — that alter the dynamics among multiple time series. | The Structural Break VAR model extends the standard Vector Autoregression (VAR) framework by allowing coefficient matrices and error covariance to shift at one or more unknown break dates. It is designed for multivariate time series where economic relationships change abruptly due to policy shifts, financial crises, or major structural events. |
| ScholarGateНабір даних ↗ |
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