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| Тест за коинтеграция на Йохансен и модел на векторна корекция на грешката× | Модел на векторна авторегресия (VAR)× | |
|---|---|---|
| Област≠ | Финанси | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1991 | 2005 |
| Създател≠ | Søren Johansen | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Тип≠ | Multivariate cointegration / vector error correction model | Multivariate time-series model |
| Основополагащ източник≠ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Други названия≠ | Johansen test, VECM, vector error correction model, multivariate cointegration | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Свързани≠ | 3 | 4 |
| Резюме≠ | The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium. | 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 ↗ |
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