Σύγκριση μεθόδων

	Μοντέλο Διόρθωσης Σφαλμάτων Διανυσμάτων Μη Γραμμικό (Nonlinear VECM)	Δοκιμή Συνολοκλήρωσης κατά Johansen και Μοντέλο Διόρθωσης Σφαλμάτων Διανυσμάτων
Πεδίο	Οικονομετρία	Χρηματοοικονομικά
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	1989–1998	1991
Δημιουργός	Granger & Lee (1989); Enders & Granger (1998)	Søren Johansen
Τύπος	Nonlinear time-series model	Multivariate cointegration / vector error correction model
Θεμελιώδης πηγή	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.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
Εναλλακτικές ονομασίες	nonlinear VECM, NVECM, threshold VECM, asymmetric VECM	Johansen test, VECM, vector error correction model, multivariate cointegration
Συναφείς	2	3
Σύνοψη	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.	The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium.