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| Παραμετρική Χρονικά Μεταβαλλόμενη Συνολοκλήρωση Johansen× | Δοκιμή Συνολοκλήρωσης κατά Johansen και Μοντέλο Διόρθωσης Σφαλμάτων Διανυσμάτων× | |
|---|---|---|
| Πεδίο≠ | Οικονομετρία | Χρηματοοικονομικά |
| Οικογένεια | Regression model | Regression model |
| Έτος προέλευσης≠ | 1999–2000s | 1991 |
| Δημιουργός≠ | Johansen (1991) seminal; TVP extension by Park & Hahn (1999) and subsequent literature | Søren Johansen |
| Τύπος≠ | Cointegration test / model | Multivariate cointegration / vector error correction model |
| Θεμελιώδης πηγή≠ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551–1580. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Εναλλακτικές ονομασίες≠ | TVP Johansen cointegration, time-varying cointegration, TVP-VECM cointegration, rolling Johansen cointegration | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Συναφείς≠ | 1 | 3 |
| Σύνοψη≠ | Time-varying parameter (TVP) Johansen cointegration extends the classic Johansen framework by allowing the cointegrating vectors and adjustment speeds to evolve over time. It is designed for integrated multivariate time series whose long-run equilibrium relationships are subject to structural change, regime shifts, or gradual parameter drift, common in macroeconomic and financial data. | 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. |
| ScholarGateΣύνολο δεδομένων ↗ |
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