Comparer des méthodes

	Test de cointégration de Johansen et modèle à correction d'erreur vectoriel	Modèle de Vector Autoregression (VAR)
Domaine	Finance	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991	2005
Auteur d'origine	Søren Johansen	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
Type	Multivariate cointegration / vector error correction model	Multivariate time-series model
Source fondatrice	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
Alias	Johansen test, VECM, vector error correction model, multivariate cointegration	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
Apparentées	3	4
Résumé	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.	Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005).