Comparer des méthodes

	Modèle de VAR Robuste (Vector Autoregression Robuste)	Modèle à Correction d'Erreur Vectorielle (VECM)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1980s–2000s	1987
Auteur d'origine	Extensions by Lutkepohl and others building on Sims (1980) VAR framework	Engle & Granger
Type	Multivariate time-series model with robust estimation	Multivariate time-series model
Source fondatrice	Goncalves, S., & Kilian, L. (2004). Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Journal of Econometrics, 123(1), 89-120.	Engle, R. F. & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276.
Alias	robust VAR, outlier-robust VAR, heavy-tailed VAR, RVAR	vector error correction model, error correction model, cointegration model, VECM (Vektör Hata Düzeltme Modeli)
Apparentées	5	4
Résumé	The Robust VAR model extends the classical Vector Autoregression framework by replacing ordinary least squares estimation with robust estimators — such as M-estimators or median-based methods — to reduce the influence of outliers, structural breaks, and heavy-tailed shocks common in financial and macroeconomic time series.	The Vector Error Correction Model is a multivariate time-series model for cointegrated series that captures both their short-run dynamics and their long-run equilibrium relationship. It was introduced by Engle and Granger in 1987 as part of the cointegration and error-correction framework.