Comparer des méthodes

	Test de Cointégration Non Linéaire de Johansen	Test de cointégration de Johansen et modèle à correction d'erreur vectoriel
Domaine	Économétrie	Finance
Famille	Regression model	Regression model
Année d'origine	2001	1991
Auteur d'origine	Breitung (2001), building on Johansen (1988, 1991)	Søren Johansen
Type	Nonparametric rank-based cointegration test	Multivariate cointegration / vector error correction model
Source fondatrice	Breitung, J. (2001). Rank tests for nonlinear cointegration. Journal of Business and Economic Statistics, 19(3), 331-340.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
Alias	nonlinear cointegration test, threshold Johansen cointegration, rank test for nonlinear cointegration, nonlinear VECM cointegration	Johansen test, VECM, vector error correction model, multivariate cointegration
Apparentées	3	3
Résumé	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.