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| Test de cointégration de Johansen sur données de panel× | Modèle à Correction d'Erreur Vectorielle (VECM)× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2001 | 1987 |
| Auteur d'origine≠ | Larsson, Lyhagen & Lothgren (building on Johansen 1988/1991) | Robert F. Engle and Clive W. J. Granger |
| Type≠ | Panel cointegration test | Multivariate time-series model |
| Source fondatrice≠ | Larsson, R., Lyhagen, J., & Lothgren, M. (2001). Likelihood-based cointegration tests in heterogeneous panels. Econometrics Journal, 4(1), 109–142. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Alias | panel Johansen test, Larsson-Lyhagen-Lothgren test, LLL panel cointegration, panel trace test | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Apparentées | 5 | 5 |
| Résumé≠ | The Panel Johansen cointegration test extends Johansen's maximum-likelihood framework to panel data, allowing researchers to test whether multiple non-stationary variables share long-run equilibrium relationships across cross-sectional units. It pools the likelihood-ratio statistics from individual Johansen tests and compares the standardised average against a standard normal distribution, yielding greater power than single-country approaches. | The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series. |
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