Сравнение на методи
Прегледайте избраните методи един до друг; редовете с разлики са откроени.
| Тест за коинтеграция (Йохансен / Енгъл-Грейнджър)× | Модел на векторна авторегресия (VAR)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1988 | 2005 |
| Създател≠ | Engle & Granger (1987); Johansen (1988) | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Тип≠ | Time-series cointegration test | Multivariate time-series model |
| Основополагащ източник≠ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Други названия | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Свързани≠ | 5 | 4 |
| Резюме≠ | The cointegration test examines whether non-stationary time series that each contain a unit root share a stable long-run equilibrium relationship. The single-equation residual approach was introduced by Engle and Granger (1987) and the system-based rank approach by Johansen (1988). | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
| ScholarGateНабор от данни ↗ |
|
|