Compara mètodes

	Test de Cointegració de Johansen i Model de Correcció d'Errors Vectorial	Model d'ARIMA (Autoregressive Integrated Moving Average)
Camp	Finances	Econometria
Família	Regression model	Regression model
Any d'origen	1991	2015
Autor original	Søren Johansen	Box & Jenkins (Box-Jenkins methodology)
Tipus	Multivariate cointegration / vector error correction model	Univariate time-series model
Font seminal	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.	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
Àlies	Johansen test, VECM, vector error correction model, multivariate cointegration	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli
Relacionats	3	5
Resum	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.	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).