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| Μοντέλο Διόρθωσης Σφαλμάτων Διανυσμάτων (VECM)× | Μοντέλο Αυτοπαλινδρόμησης Διανυσμάτων (VAR)× | |
|---|---|---|
| Πεδίο | Οικονομετρία | Οικονομετρία |
| Οικογένεια | Regression model | Regression model |
| Έτος προέλευσης≠ | 1987 | 2005 |
| Δημιουργός≠ | Engle & Granger | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Τύπος | Multivariate time-series model | Multivariate time-series model |
| Θεμελιώδης πηγή≠ | Engle, R. F. & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Εναλλακτικές ονομασίες | vector error correction model, error correction model, cointegration model, VECM (Vektör Hata Düzeltme Modeli) | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Συναφείς | 4 | 4 |
| Σύνοψη≠ | The Vector Error Correction Model is a multivariate time-series model for cointegrated series that captures both their short-run dynamics and their long-run equilibrium relationship. It was introduced by Engle and Granger in 1987 as part of the cointegration and error-correction framework. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
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