Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Prueba de cointegración de Johansen no lineal× | Prueba de Cointegración de Johansen y Modelo de Corrección de Errores Vectorial× | |
|---|---|---|
| Campo≠ | Econometría | Finanzas |
| Familia | Regression model | Regression model |
| Año de origen≠ | 2001 | 1991 |
| Autor original≠ | Breitung (2001), building on Johansen (1988, 1991) | Søren Johansen |
| Tipo≠ | Nonparametric rank-based cointegration test | Multivariate cointegration / vector error correction model |
| Fuente seminal≠ | Breitung, J. (2001). Rank tests for nonlinear cointegration. Journal of Business and Economic Statistics, 19(3), 331-340. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Alias≠ | nonlinear cointegration test, threshold Johansen cointegration, rank test for nonlinear cointegration, nonlinear VECM cointegration | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Relacionados | 3 | 3 |
| Resumen≠ | Nonlinear Johansen cointegration extends the classical Johansen framework to detect long-run equilibrium relationships among integrated time series when the adjustment process is nonlinear. Using rank-based transformations, the approach tests for cointegration without assuming a linear error-correction mechanism, making it suitable for economic relationships characterized by asymmetric or threshold dynamics. | 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. |
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