Σύγκριση μεθόδων

	Ανθεκτικό Μοντέλο Διόρθωσης Σφάλματος Διανυσμάτων (Robust VECM)	Δοκιμή Συνολοκλήρωσης κατά Johansen και Μοντέλο Διόρθωσης Σφαλμάτων Διανυσμάτων
Πεδίο	Οικονομετρία	Χρηματοοικονομικά
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	1997–2001	1991
Δημιουργός	Sakata & White (1998); Lucas (1997) — robust cointegrated system estimation	Søren Johansen
Τύπος	Robust multivariate time-series model	Multivariate cointegration / vector error correction model
Θεμελιώδης πηγή	Caner, M., & Kilian, L. (2001). Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for the PPP debate. Journal of International Money and Finance, 20(5), 639-657.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
Εναλλακτικές ονομασίες	robust VECM, outlier-robust VECM, robust cointegration model, robust VEC model	Johansen test, VECM, vector error correction model, multivariate cointegration
Συναφείς	1	3
Σύνοψη	Robust VECM extends the classical Vector Error Correction Model by replacing ordinary least squares estimation with outlier-resistant procedures — such as M-estimators, S-estimators, or least trimmed squares — so that cointegration relationships and short-run adjustment dynamics are estimated reliably even when the multivariate time series contains outliers, structural breaks, or heavy-tailed innovations.	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.