Regression model
门限向量自回归（TVAR）和光滑转换向量自回归（STVAR）
门限向量自回归（TVAR）和光滑转换向量自回归（STVAR）是非线性多元时间序列模型，其中向量自回归的系数根据门限变量在不同机制之间切换。这些模型基于Tsay（1998）对多元门限模型的处理，能够捕捉跨阶段（如商业周期、金融危机或政策差异）的不同动态结构。
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Method map
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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 ↗
- Balcilar, M. et al. (2017). Regime-Dependent Effects of Uncertainty Shocks. Economic Modelling. link ↗
如何引用本页
ScholarGate. (2026, June 1). Threshold Vector Autoregression and Smooth-Transition Vector Autoregression (TVAR / STVAR). ScholarGate. https://scholargate.app/zh/econometrics/stvar
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.
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