Σύγκριση μεθόδων
Εξετάστε τις επιλεγμένες μεθόδους δίπλα-δίπλα· οι γραμμές που διαφέρουν επισημαίνονται.
| Μη Γραμμικός Έλεγχος Ρίζας Μονάδας ADF (Έλεγχος KSS)× | Μοντέλο Διόρθωσης Σφαλμάτων Διανυσμάτων Μη Γραμμικό (Nonlinear VECM)× | |
|---|---|---|
| Πεδίο | Οικονομετρία | Οικονομετρία |
| Οικογένεια | Regression model | Regression model |
| Έτος προέλευσης≠ | 2003 | 1989–1998 |
| Δημιουργός≠ | Kapetanios, Shin, and Snell | Granger & Lee (1989); Enders & Granger (1998) |
| Τύπος≠ | Nonlinear unit root test | Nonlinear time-series model |
| Θεμελιώδης πηγή≠ | Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. DOI ↗ | Enders, W., & Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304–311. DOI ↗ |
| Εναλλακτικές ονομασίες | KSS test, nonlinear unit root test, ESTAR unit root test, Kapetanios-Shin-Snell test | nonlinear VECM, NVECM, threshold VECM, asymmetric VECM |
| Συναφείς≠ | 6 | 2 |
| Σύνοψη≠ | The Nonlinear ADF unit root test, most prominently operationalized by Kapetanios, Shin, and Snell (2003), extends the classical Augmented Dickey-Fuller test to detect mean reversion that occurs via an Exponential Smooth Transition Autoregressive (ESTAR) process. It tests the null of a unit root against a nonlinear stationary alternative, capturing adjustment dynamics that the standard linear ADF test misses. | The Nonlinear VECM extends the standard linear VECM by allowing the speed of adjustment toward long-run equilibrium to differ depending on the sign, magnitude, or regime of deviations from that equilibrium. It captures asymmetric or threshold-driven dynamics in cointegrated time-series systems that a standard VECM would miss. |
| ScholarGateΣύνολο δεδομένων ↗ |
|
|