Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Modelo de Corrección de Errores Vectorial (VECM)× | Vector Autoregression (VAR)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1987 | 1980 |
| Autor original≠ | Robert F. Engle and Clive W. J. Granger | Christopher A. Sims |
| Tipo | Multivariate time-series model | Multivariate time-series model |
| Fuente seminal≠ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Alias | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Relacionados | 5 | 5 |
| Resumen≠ | 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. | Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance. |
| ScholarGateConjunto de datos ↗ |
|
|