Porovnat metody
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| Vektorový model s korekcí chyby (VECM)× | Test kointegrace podle Engle-Grangera× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku | 1987 | 1987 |
| Tvůrce | Robert F. Engle and Clive W. J. Granger | Robert F. Engle and Clive W. J. Granger |
| Typ≠ | Multivariate time-series model | Cointegration test |
| Původní zdroj | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. 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 | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model | EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test |
| Příbuzné | 5 | 5 |
| Shrnutí≠ | 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. | The Engle-Granger two-step method tests whether two or more non-stationary I(1) time series share a common stochastic trend — that is, whether a linear combination of them is stationary. If cointegration is confirmed, an error-correction model (ECM) can be estimated to capture both short-run dynamics and long-run equilibrium adjustment. |
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