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| Prueba de cointegración de Johansen no lineal× | Modelo de Corrección de Errores Vectorial (VECM)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 2001 | 1987 |
| Autor original≠ | Breitung (2001), building on Johansen (1988, 1991) | Robert F. Engle and Clive W. J. Granger |
| Tipo≠ | Nonparametric rank-based cointegration test | Multivariate time-series model |
| Fuente seminal≠ | Breitung, J. (2001). Rank tests for nonlinear cointegration. Journal of Business and Economic Statistics, 19(3), 331-340. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Alias | nonlinear cointegration test, threshold Johansen cointegration, rank test for nonlinear cointegration, nonlinear VECM cointegration | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Relacionados≠ | 3 | 5 |
| 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 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. |
| ScholarGateConjunto de datos ↗ |
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