Σύγκριση μεθόδων

	Μοντέλο Διόρθωσης Σφαλμάτων Διανύσματος (VECM)	Έλεγχος Αιτιότητας Granger
Πεδίο	Οικονομετρία	Οικονομετρία
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	1987	1969
Δημιουργός	Robert F. Engle and Clive W. J. Granger	Clive W. J. Granger
Τύπος	Multivariate time-series model	Causality test (F-test on VAR)
Θεμελιώδης πηγή	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438.
Εναλλακτικές ονομασίες	VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model	Granger test, GC test, predictive causality test, Granger non-causality test
Συναφείς	5	5
Σύνοψη	The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series.	The Granger causality test is a statistical hypothesis test that determines whether past values of one time series help predict future values of another, beyond what that series' own past already explains. Introduced by Clive Granger in 1969, it is the standard approach for assessing predictive causality in VAR-based time-series analysis.