Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Модель корекції помилок вектора зі структурними розривами (SB-VECM)× | Модель структурних розривів ВАР× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1996–2000 | 1980–1998 |
| Автор методу≠ | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) | Bai & Perron (structural breaks); Sims (VAR framework) |
| Тип≠ | Multivariate error correction model with structural breaks | Multivariate time series model with regime change |
| Основоположне джерело≠ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗ |
| Інші назви | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM | VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR |
| Пов'язані≠ | 5 | 6 |
| Підсумок≠ | The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. | 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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