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| Модел с корекция на грешката чрез вектори при структурни сътресения (SB-VECM)× | Векторен модел за корекция на грешки (VECM)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1996–2000 | 1987 |
| Създател≠ | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) | Robert F. Engle and Clive W. J. Granger |
| Тип≠ | Multivariate error correction model with structural breaks | Multivariate time-series model |
| Основополагащ източник≠ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ | 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 | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Свързани | 5 | 5 |
| Резюме≠ | The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. | The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series. |
| ScholarGateНабор от данни ↗ |
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