Porovnat metody
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| Grangerův test kauzality× | Model vektorové korekce chyb (VECM)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1969 | 1987 |
| Tvůrce≠ | Clive W. J. Granger | Engle & Granger |
| Typ≠ | Time-series predictive causality test | Multivariate time-series model |
| Původní zdroj≠ | Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. DOI ↗ | Engle, R. F. & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276. DOI ↗ |
| Další názvy | Granger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik Testi | vector error correction model, error correction model, cointegration model, VECM (Vektör Hata Düzeltme Modeli) |
| Příbuzné≠ | 5 | 4 |
| Shrnutí≠ | The Granger causality test, introduced by Clive W. J. Granger in 1969, assesses whether the past values of one time series help predict another beyond what the latter's own past already explains. It defines causality in a strictly predictive sense rather than as a structural or physical cause. | 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. |
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