Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Cointegration de Johansen à paramètres variant dans le temps× | Test de cointégration de Johansen et modèle à correction d'erreur vectoriel× | |
|---|---|---|
| Domaine≠ | Économétrie | Finance |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1999–2000s | 1991 |
| Auteur d'origine≠ | Johansen (1991) seminal; TVP extension by Park & Hahn (1999) and subsequent literature | Søren Johansen |
| Type≠ | Cointegration test / model | Multivariate cointegration / vector error correction model |
| Source fondatrice≠ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551–1580. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Alias≠ | TVP Johansen cointegration, time-varying cointegration, TVP-VECM cointegration, rolling Johansen cointegration | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Apparentées≠ | 1 | 3 |
| Résumé≠ | Time-varying parameter (TVP) Johansen cointegration extends the classic Johansen framework by allowing the cointegrating vectors and adjustment speeds to evolve over time. It is designed for integrated multivariate time series whose long-run equilibrium relationships are subject to structural change, regime shifts, or gradual parameter drift, common in macroeconomic and financial data. | 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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