Regression modelEconometrics / time series
非线性向量自回归模型
非线性向量自回归（NLVAR）模型通过允许多个时间序列之间的动态关系根据可观测的阈值变量、潜在的状态或平滑的转移函数而平滑地切换或变化，从而扩展了标准的向量自回归模型。当经济系统表现出线性 VAR 无法捕捉的不对称响应、状态转换或状态依赖性动态时，便会使用该模型。
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来源
- Tsay, R. S. (1998). Testing and modeling multivariate threshold models. Journal of the American Statistical Association, 93(443), 1188–1202. DOI: 10.1080/01621459.1998.10473779 ↗
- Krolzig, H.-M. (1997). Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis. Springer. ISBN: 978-3540628644
如何引用本页
ScholarGate. (2026, June 3). Nonlinear Vector Autoregression Model. ScholarGate. https://scholargate.app/zh/econometrics/nonlinear-var-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- 非线性自回归分布式滞后 (NARDL) 模型计量经济学↔ compare
- 结构向量自回归 (SVAR)计量经济学↔ compare
- 向量自回归 (VAR)计量经济学↔ compare
- 向量误差修正模型 (VECM)计量经济学↔ compare