方法对比
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| 向量自回归 (VAR)× | 结构向量自回归 (SVAR)× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份 | 1980 | 1980 |
| 提出者≠ | Christopher A. Sims | Sims (1980); identification schemes by Blanchard & Quah (1989) |
| 类型≠ | Multivariate time-series model | Multivariate time series model |
| 开创性文献≠ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ | Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673. link ↗ |
| 别名 | VAR, VAR model, vector autoregressive model, multivariate autoregression | SVAR, structural vector autoregression, identified VAR, structural VAR model |
| 相关 | 5 | 5 |
| 摘要≠ | 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. | Structural VAR extends the reduced-form VAR by imposing economic theory-based restrictions that identify orthogonal structural shocks. This allows researchers to disentangle the causal effects of distinct economic disturbances — such as supply versus demand shocks — and trace their dynamic propagation through a system of variables via impulse response functions and forecast error variance decompositions. |
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