विधियों की तुलना करें
चुनी हुई विधियों की आमने-सामने समीक्षा करें; भिन्नता वाली पंक्तियाँ रेखांकित हैं।
| समय-भिन्न प्राचल एंगेल-ग्रेंजर सह-एकीकरण× | जोहान्सन सह-एकीकरण परीक्षण और सदिश त्रुटि सुधार मॉडल× | |
|---|---|---|
| क्षेत्र≠ | अर्थमिति | वित्त |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष≠ | 1987/1999 | 1991 |
| प्रवर्तक≠ | Engle & Granger (1987) for cointegration; Park & Hahn (1999) for TVP extension | Søren Johansen |
| प्रकार≠ | Time-series cointegration model | Multivariate cointegration / vector error correction model |
| मौलिक स्रोत≠ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| उपनाम≠ | TVP Engle-Granger cointegration, time-varying cointegration, TVP-EG cointegration, varying-coefficient cointegration | Johansen test, VECM, vector error correction model, multivariate cointegration |
| संबंधित | 3 | 3 |
| सारांश≠ | Time-varying parameter (TVP) Engle-Granger cointegration extends the classical two-step Engle-Granger framework by allowing the long-run relationship between integrated series to evolve over time. Instead of assuming a fixed cointegrating vector, the cointegrating coefficients are modelled as stochastic processes — typically via a random walk — and estimated with the Kalman filter or related state-space methods. | The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium. |
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