השוואת שיטות

	Autoregression Vector (VAR)	מודל תיקון שגיאות וקטורי (VECM)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1980	1987
הוגה השיטה	Christopher A. Sims	Robert F. Engle and Clive W. J. Granger
סוג	Multivariate time-series model	Multivariate time-series model
מקור מכונן	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.
כינויים	VAR, VAR model, vector autoregressive model, multivariate autoregression	VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model
קשורות	5	5
תקציר	Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance.	The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series.