So sánh phương pháp
Xem các phương pháp đã chọn cạnh nhau; những hàng khác biệt được làm nổi bật.
| Mô hình Vector tự hồi quy cấu trúc phi tuyến (NL-SVAR)× | Mô hình Hiệu chỉnh Sai số Vector Phi tuyến (Nonlinear VECM)× | |
|---|---|---|
| Lĩnh vực | Kinh tế lượng | Kinh tế lượng |
| Họ | Regression model | Regression model |
| Năm ra đời≠ | 1990s–2010s | 1989–1998 |
| Người khởi xướng≠ | Extensions by Koop, Potter, Auerbach, Gorodnichenko and others | Granger & Lee (1989); Enders & Granger (1998) |
| Loại≠ | Multivariate nonlinear structural time series model | Nonlinear time-series model |
| Công trình gốc≠ | Koop, G., & Korobilis, D. (2010). Bayesian multivariate time series methods for empirical macroeconomics. Foundations and Trends in Econometrics, 3(4), 267–358. DOI ↗ | Enders, W., & Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304–311. DOI ↗ |
| Tên gọi khác | nonlinear structural VAR, NL-SVAR, threshold SVAR, regime-switching SVAR | nonlinear VECM, NVECM, threshold VECM, asymmetric VECM |
| Liên quan≠ | 6 | 2 |
| Tóm tắt≠ | The Nonlinear Structural VAR model extends the standard SVAR framework to allow structural relationships and dynamic responses to vary across economic regimes or states of the world. By imposing nonlinear transition mechanisms — such as threshold switching or smooth regime change — it captures asymmetric responses to shocks that a linear SVAR cannot detect. | The Nonlinear VECM extends the standard linear VECM by allowing the speed of adjustment toward long-run equilibrium to differ depending on the sign, magnitude, or regime of deviations from that equilibrium. It captures asymmetric or threshold-driven dynamics in cointegrated time-series systems that a standard VECM would miss. |
| ScholarGateBộ dữ liệu ↗ |
|
|