השוואת שיטות
סקרו את השיטות שבחרתם זו לצד זו; שורות שבהן יש הבדל מודגשות.
| מבחן קוינטגרציה של יוהנסן ומודל וקטור תיקון שגיאות× | מודל ARDL לא-לינארי (NARDL)× | |
|---|---|---|
| תחום≠ | מימון | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 1991 | 2014 |
| הוגה השיטה≠ | Søren Johansen | Shin, Yu & Greenwood-Nimmo |
| סוג≠ | Multivariate cointegration / vector error correction model | Nonlinear cointegration model |
| מקור מכונן≠ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ | Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. C. Sickles & W. C. Horrace (Eds.), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications (pp. 281–314). Springer. link ↗ |
| כינויים≠ | Johansen test, VECM, vector error correction model, multivariate cointegration | NARDL, nonlinear bounds test, asymmetric ARDL, asymmetric cointegration model |
| קשורות≠ | 3 | 5 |
| תקציר≠ | 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. | The Nonlinear ARDL (NARDL) model extends the linear ARDL bounds-testing framework to allow asymmetric long-run and short-run relationships. By decomposing the regressor into cumulative positive and negative partial sums, it tests whether increases and decreases in a variable exert different effects on the outcome — a feature especially relevant in financial and energy economics where positive and negative shocks rarely cancel out symmetrically. |
| ScholarGateמערך נתונים ↗ |
|
|