Regression modelMultivariate time series
结构向量自回归 (SVAR)
结构向量自回归 (SVAR) 是克里斯托弗·西姆斯 (Christopher Sims, 1980) 开发的一种多元时间序列模型，它通过对变量之间同期关系施加经济学上合理的识别约束，从而扩展了简化形式的向量自回归 (VAR)。SVAR 使研究者能够分离正交的结构性冲击，并通过脉冲响应函数和预测误差方差分解来追踪其因果动态效应，使其成为现代实证宏观经济学的基石。
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来源
- Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48. DOI: 10.2307/1912017 ↗
如何引用本页
ScholarGate. (2026, June 2). Structural Vector Autoregression (SVAR). ScholarGate. https://scholargate.app/zh/econometrics/svar
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