Σύγκριση μεθόδων

	Έλεγχος Συνολοκλήρωσης Johansen με Διαρθρωτική Μεταβολή	Μοντέλο Διόρθωσης Σφαλμάτων Διανυσμάτων με Δομικά Θραύσματα (SB-VECM)
Πεδίο	Οικονομετρία	Οικονομετρία
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	2000–2001	1996–2000
Δημιουργός	Johansen (1988); structural-break extensions by Saikkonen & Lütkepohl (2000) and Lütkepohl, Müller & Saikkonen (2001)	Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000)
Τύπος	Cointegration test / VECM estimation	Multivariate error correction model with structural breaks
Θεμελιώδης πηγή	Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254.	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126.
Εναλλακτικές ονομασίες	Johansen cointegration with breaks, break-robust Johansen test, cointegration test with regime shifts, structural change Johansen VECM	SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM
Συναφείς	5	5
Σύνοψη	The structural break Johansen cointegration test extends the standard maximum-likelihood Johansen procedure to settings where the multivariate time series exhibits level shifts or trend breaks. By incorporating dummy variables or shift regressors into the VECM, the test determines the cointegrating rank without confounding genuine long-run relationships with regime changes.	The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes.