方法对比
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| 马尔可夫状态转换模型 (MS-AR / MS-VAR)× | 向量自回归 (VAR)× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1989 | 1980 |
| 提出者≠ | Hamilton (1989); Kim & Nelson (1999) | Christopher A. Sims |
| 类型≠ | Regime-switching time series model | Multivariate time-series model |
| 开创性文献≠ | 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 ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| 别名≠ | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| 相关 | 5 | 5 |
| 摘要≠ | 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. | Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance. |
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