השוואת שיטות

	מודל אוטורגרסיה וקטורית (VAR)	מודל וקטורי לתיקון שגיאות (VECM)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	2005	1987
הוגה השיטה	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition	Engle & Granger
סוג	Multivariate time-series model	Multivariate time-series model
מקור מכונן	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.	Engle, R. F. & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276.
כינויים	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon	vector error correction model, error correction model, cointegration model, VECM (Vektör Hata Düzeltme Modeli)
קשורות	4	4
תקציר	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).	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.