Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Modèle à Correction d'Erreur Vectorielle (VECM)× | Modèle ARIMA (Autoregressive Integrated Moving Average)× | Modèle de Vector Autoregression (VAR)× | |
|---|---|---|---|
| Domaine | Économétrie | Économétrie | Économétrie |
| Famille | Regression model | Regression model | Regression model |
| Année d'origine≠ | 1987 | 2015 | 2005 |
| Auteur d'origine≠ | Engle & Granger | Box & Jenkins (Box-Jenkins methodology) | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Type≠ | Multivariate time-series model | Univariate time-series model | Multivariate time-series model |
| Source fondatrice≠ | Engle, R. F. & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276. DOI ↗ | Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021 | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Alias≠ | vector error correction model, error correction model, cointegration model, VECM (Vektör Hata Düzeltme Modeli) | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Apparentées≠ | 4 | 5 | 4 |
| Résumé≠ | 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. | ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015). | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
| ScholarGateJeu de données ↗ |
|
|
|