Σύγκριση μεθόδων

	Μη Γραμμικός Έλεγχος Συνολοκλήρωσης Johansen	Μοντέλο Διόρθωσης Σφαλμάτων Διανύσματος (VECM)
Πεδίο	Οικονομετρία	Οικονομετρία
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	2001	1987
Δημιουργός	Breitung (2001), building on Johansen (1988, 1991)	Robert F. Engle and Clive W. J. Granger
Τύπος	Nonparametric rank-based cointegration test	Multivariate time-series model
Θεμελιώδης πηγή	Breitung, J. (2001). Rank tests for nonlinear cointegration. Journal of Business and Economic Statistics, 19(3), 331-340.	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.
Εναλλακτικές ονομασίες	nonlinear cointegration test, threshold Johansen cointegration, rank test for nonlinear cointegration, nonlinear VECM cointegration	VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model
Συναφείς	3	5
Σύνοψη	Nonlinear Johansen cointegration extends the classical Johansen framework to detect long-run equilibrium relationships among integrated time series when the adjustment process is nonlinear. Using rank-based transformations, the approach tests for cointegration without assuming a linear error-correction mechanism, making it suitable for economic relationships characterized by asymmetric or threshold dynamics.	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.