Comparer des méthodes

	Modèle Bayésien de Correction d'Erreur Vectoriel (Bayesian VECM)	Modèle à Correction d'Erreur Vectoriel sur Données de Panel (Panel VECM)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2002–2005	1987–1995
Auteur d'origine	Kleibergen & Paap; Villani	Engle & Granger (1987) for VECM; Holtz-Eakin, Newey & Rosen (1988) for panel VAR extension
Type	Bayesian multivariate time series model	Multivariate dynamic panel model
Source fondatrice	Kleibergen, F., & Paap, R. (2002). Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration. Journal of Econometrics, 111(2), 223–249.	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.
Alias	Bayesian VECM, B-VECM, Bayesian cointegrated VAR, Bayesian vector error correction	Panel VECM, panel vector error correction model, PVECM, panel cointegrating VAR
Apparentées	5	5
Résumé	The Bayesian VECM combines the classical Vector Error Correction Model — which captures both short-run dynamics and long-run cointegrating relationships among non-stationary multivariate time series — with Bayesian prior distributions over the cointegrating rank and coefficient matrices. This allows principled uncertainty quantification, incorporation of economic theory as priors, and coherent inference even in small samples.	Panel VECM combines vector error correction modelling with panel data, simultaneously capturing the long-run cointegrating equilibrium among multiple I(1) variables and their short-run adjustment dynamics across multiple cross-sectional units. It is the standard framework when panel variables share at least one common stochastic trend.