विधियों की तुलना करें
चुनी हुई विधियों की आमने-सामने समीक्षा करें; भिन्नता वाली पंक्तियाँ रेखांकित हैं।
| संरचनात्मक विराम जोहानसेन सह-एकीकरण परीक्षण× | संरचनात्मक ब्रेक के साथ वेक्टर त्रुटि सुधार मॉडल (SB-VECM)× | |
|---|---|---|
| क्षेत्र | अर्थमिति | अर्थमिति |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष≠ | 2000–2001 | 1996–2000 |
| प्रवर्तक≠ | Johansen (1988); structural-break extensions by Saikkonen & Lütkepohl (2000) and Lütkepohl, Müller & Saikkonen (2001) | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) |
| प्रकार≠ | Cointegration test / VECM estimation | Multivariate error correction model with structural breaks |
| मौलिक स्रोत≠ | Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254. DOI ↗ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ |
| उपनाम | Johansen cointegration with breaks, break-robust Johansen test, cointegration test with regime shifts, structural change Johansen VECM | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM |
| संबंधित | 5 | 5 |
| सारांश≠ | The structural break Johansen cointegration test extends the standard maximum-likelihood Johansen procedure to settings where the multivariate time series exhibits level shifts or trend breaks. By incorporating dummy variables or shift regressors into the VECM, the test determines the cointegrating rank without confounding genuine long-run relationships with regime changes. | The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. |
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