Methoden vergleichen
Prüfen Sie die ausgewählten Methoden nebeneinander; abweichende Zeilen sind hervorgehoben.
| Zeitvariante Parameter Engle-Granger-Kointegration× | Zustandsraummodell (Kalman-Filter)× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1987/1999 | 1990 |
| Urheber≠ | Engle & Granger (1987) for cointegration; Park & Hahn (1999) for TVP extension | Harvey; Durbin & Koopman (state space treatment); Kalman filter |
| Typ≠ | Time-series cointegration model | State space time series model |
| Wegweisende Quelle≠ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. DOI ↗ |
| Aliasnamen | TVP Engle-Granger cointegration, time-varying cointegration, TVP-EG cointegration, varying-coefficient cointegration | state space, Kalman filter, unobserved components model, Durum Uzayı Modeli (State Space / Kalman Filter) |
| Verwandt≠ | 3 | 4 |
| Zusammenfassung≠ | Time-varying parameter (TVP) Engle-Granger cointegration extends the classical two-step Engle-Granger framework by allowing the long-run relationship between integrated series to evolve over time. Instead of assuming a fixed cointegrating vector, the cointegrating coefficients are modelled as stochastic processes — typically via a random walk — and estimated with the Kalman filter or related state-space methods. | A state space model is a general time series framework that describes a series through unobserved (latent) state variables linked by a measurement equation and a transition equation, with the states estimated in real time by the Kalman filter. Developed in the state space tradition of Harvey (1990) and Durbin & Koopman (2012), it nests ARIMA and exponential smoothing as special cases. |
| ScholarGateDatensatz ↗ |
|
|