Сравнение на методи
Прегледайте избраните методи един до друг; редовете с разлики са откроени.
| ARDL Bounds Test× | Модел ARIMA (Autoregressive Integrated Moving Average)× | Векторен модел за корекция на грешката (VECM)× | |
|---|---|---|---|
| Област | Иконометрия | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model | Regression model |
| Година на възникване≠ | 2001 | 2015 | 1987 |
| Създател≠ | Pesaran, Shin & Smith | Box & Jenkins (Box-Jenkins methodology) | Engle & Granger |
| Тип≠ | Cointegration test / Autoregressive distributed lag model | Univariate time-series model | Multivariate time-series model |
| Основополагащ източник≠ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ | Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021 | Engle, R. F. & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276. DOI ↗ |
| Други названия≠ | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli | vector error correction model, error correction model, cointegration model, VECM (Vektör Hata Düzeltme Modeli) |
| Свързани≠ | 4 | 5 | 4 |
| Резюме≠ | The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations. | ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015). | The Vector Error Correction Model is a multivariate time-series model for cointegrated series that captures both their short-run dynamics and their long-run equilibrium relationship. It was introduced by Engle and Granger in 1987 as part of the cointegration and error-correction framework. |
| ScholarGateНабор от данни ↗ |
|
|
|