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