Vertaile menetelmiä
Tarkastele valitsemiasi menetelmiä rinnakkain; eroavat rivit korostetaan.
| Epälineaarinen Johansenin Sauvignon kointegraatiotesti× | Johansenin kointegraatiotesti ja vektorikorjausmalli× | |
|---|---|---|
| Tieteenala≠ | Ekonometria | Rahoitus |
| Menetelmäperhe | Regression model | Regression model |
| Syntyvuosi≠ | 2001 | 1991 |
| Kehittäjä≠ | Breitung (2001), building on Johansen (1988, 1991) | Søren Johansen |
| Tyyppi≠ | Nonparametric rank-based cointegration test | Multivariate cointegration / vector error correction model |
| Alkuperäislähde≠ | 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 ↗ |
| Rinnakkaisnimet≠ | nonlinear cointegration test, threshold Johansen cointegration, rank test for nonlinear cointegration, nonlinear VECM cointegration | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Liittyvät | 3 | 3 |
| Tiivistelmä≠ | 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. |
| ScholarGateAineisto ↗ |
|
|