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| Cointegration nonlinéaire d'Engle-Granger× | Test de cointégration de Johansen et modèle à correction d'erreur vectoriel× | |
|---|---|---|
| Domaine≠ | Économétrie | Finance |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1998-2006 | 1991 |
| Auteur d'origine≠ | Kapetanios, Shin & Snell; Enders & Granger | Søren Johansen |
| Type≠ | Cointegration test | Multivariate cointegration / vector error correction model |
| Source fondatrice≠ | Kapetanios, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279-303. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Alias≠ | nonlinear cointegration, threshold cointegration, KSS cointegration, ESTAR cointegration | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Apparentées | 3 | 3 |
| Résumé≠ | Nonlinear Engle-Granger cointegration extends the classical two-step Engle-Granger procedure to detect long-run equilibria where adjustment toward the equilibrium is nonlinear — for example, faster above than below a threshold, or governed by a smooth transition mechanism. It is widely applied in financial economics, purchasing power parity tests, and commodity price analysis. | 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. |
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