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| Struktuursete murretega vektoriline koreerimismudel (SB-VECM)× | Johanseni struktuurimurde kointegratsioonitest× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 1996–2000 | 2000–2001 |
| Looja≠ | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) | Johansen (1988); structural-break extensions by Saikkonen & Lütkepohl (2000) and Lütkepohl, Müller & Saikkonen (2001) |
| Tüüp≠ | Multivariate error correction model with structural breaks | Cointegration test / VECM estimation |
| Algallikas≠ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ | Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254. DOI ↗ |
| Rööpnimetused | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM | Johansen cointegration with breaks, break-robust Johansen test, cointegration test with regime shifts, structural change Johansen VECM |
| Seotud | 5 | 5 |
| Kokkuvõte≠ | The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. | The structural break Johansen cointegration test extends the standard maximum-likelihood Johansen procedure to settings where the multivariate time series exhibits level shifts or trend breaks. By incorporating dummy variables or shift regressors into the VECM, the test determines the cointegrating rank without confounding genuine long-run relationships with regime changes. |
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