Regression modelEconometrics / time series
时变参数向量自回归模型 (TVP-VAR)
时变参数向量自回归 (TVP-VAR) 模型扩展了标准的向量自回归模型，允许系数和误差协方差随时间逐渐演变。该模型通过贝叶斯方法和马尔可夫链蒙特卡洛 (MCMC) 模拟进行估计，能够在无需预设断点的情况下捕捉宏观经济或金融变量之间动态关系在不同经济状态下的变化。
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来源
- Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821-852. DOI: 10.1111/j.1467-937X.2005.00353.x ↗
- Cogley, T., & Nason, J. M. (1995). Effects of the Hodrick-Prescott filter on trend and difference stationary time series: Implications for business cycle research. Journal of Economic Dynamics and Control, 19(1-2), 253-278. DOI: 10.1016/0165-1889(93)00781-X ↗
如何引用本页
ScholarGate. (2026, June 3). Time-Varying Parameter Vector Autoregression Model. ScholarGate. https://scholargate.app/zh/econometrics/time-varying-parameter-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.
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