Võrdle meetodeid

	Mittelineaarne Johanseni kaasintegreerumise test	Johanseni kointegratsioonitest ja vektori veaparanduse mudel
Valdkond	Ökonomeetria	Rahandus
Perekond	Regression model	Regression model
Tekkeaasta	2001	1991
Looja	Breitung (2001), building on Johansen (1988, 1991)	Søren Johansen
Tüüp	Nonparametric rank-based cointegration test	Multivariate cointegration / vector error correction model
Algallikas	Breitung, J. (2001). Rank tests for nonlinear cointegration. Journal of Business and Economic Statistics, 19(3), 331-340.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
Rööpnimetused	nonlinear cointegration test, threshold Johansen cointegration, rank test for nonlinear cointegration, nonlinear VECM cointegration	Johansen test, VECM, vector error correction model, multivariate cointegration
Seotud	3	3
Kokkuvõte	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.