Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Modelo ARMA (Autoregresivo de Media Móvil)× | Prueba de Causalidad de Granger× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1970 | 1969 |
| Autor original≠ | George E. P. Box and Gwilym M. Jenkins | Clive W. J. Granger |
| Tipo≠ | Time series model | Causality test (F-test on VAR) |
| Fuente seminal≠ | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ | Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438. DOI ↗ |
| Alias | ARMA, Box-Jenkins model, autoregressive moving average, AR(p)MA(q) | Granger test, GC test, predictive causality test, Granger non-causality test |
| Relacionados | 5 | 5 |
| Resumen≠ | The ARMA(p,q) model describes a stationary time series as a combination of two components: an autoregressive part that regresses the current value on its own past p values, and a moving average part that accounts for past q error terms. It is the foundational framework of the Box-Jenkins methodology for univariate time series modelling and short-run forecasting. | 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. |
| ScholarGateConjunto de datos ↗ |
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