विधियों की तुलना करें
चुनी हुई विधियों की आमने-सामने समीक्षा करें; भिन्नता वाली पंक्तियाँ रेखांकित हैं।
| ग्रेंजर कारणता परीक्षण (Granger Causality Test)× | सदिश त्रुटि सुधार मॉडल (VECM)× | |
|---|---|---|
| क्षेत्र | अर्थमिति | अर्थमिति |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष≠ | 1969 | 1987 |
| प्रवर्तक≠ | Clive W. J. Granger | Robert F. Engle and Clive W. J. Granger |
| प्रकार≠ | Causality test (F-test on VAR) | Multivariate time-series model |
| मौलिक स्रोत≠ | Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| उपनाम | Granger test, GC test, predictive causality test, Granger non-causality test | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| संबंधित | 5 | 5 |
| सारांश≠ | The Granger causality test is a statistical hypothesis test that determines whether past values of one time series help predict future values of another, beyond what that series' own past already explains. Introduced by Clive Granger in 1969, it is the standard approach for assessing predictive causality in VAR-based time-series analysis. | 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. |
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