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	Modèle à Correction d'Erreur Vectoriel Robuste (VECM Robuste)	Test de cointégration de Johansen et modèle à correction d'erreur vectoriel
Domaine	Économétrie	Finance
Famille	Regression model	Regression model
Année d'origine	1997–2001	1991
Auteur d'origine	Sakata & White (1998); Lucas (1997) — robust cointegrated system estimation	Søren Johansen
Type	Robust multivariate time-series model	Multivariate cointegration / vector error correction model
Source fondatrice	Caner, M., & Kilian, L. (2001). Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for the PPP debate. Journal of International Money and Finance, 20(5), 639-657.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
Alias	robust VECM, outlier-robust VECM, robust cointegration model, robust VEC model	Johansen test, VECM, vector error correction model, multivariate cointegration
Apparentées	1	3
Résumé	Robust VECM extends the classical Vector Error Correction Model by replacing ordinary least squares estimation with outlier-resistant procedures — such as M-estimators, S-estimators, or least trimmed squares — so that cointegration relationships and short-run adjustment dynamics are estimated reliably even when the multivariate time series contains outliers, structural breaks, or heavy-tailed innovations.	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.