विधियों की तुलना करें
चुनी हुई विधियों की आमने-सामने समीक्षा करें; भिन्नता वाली पंक्तियाँ रेखांकित हैं।
| समय-परिवर्ती पैरामीटर जोहानसन सह-एकीकरण× | जोहान्सन सह-एकीकरण परीक्षण और सदिश त्रुटि सुधार मॉडल× | |
|---|---|---|
| क्षेत्र≠ | अर्थमिति | वित्त |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष≠ | 1999–2000s | 1991 |
| प्रवर्तक≠ | Johansen (1991) seminal; TVP extension by Park & Hahn (1999) and subsequent literature | Søren Johansen |
| प्रकार≠ | Cointegration test / model | Multivariate cointegration / vector error correction model |
| मौलिक स्रोत≠ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551–1580. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| उपनाम≠ | TVP Johansen cointegration, time-varying cointegration, TVP-VECM cointegration, rolling Johansen cointegration | Johansen test, VECM, vector error correction model, multivariate cointegration |
| संबंधित≠ | 1 | 3 |
| सारांश≠ | Time-varying parameter (TVP) Johansen cointegration extends the classic Johansen framework by allowing the cointegrating vectors and adjustment speeds to evolve over time. It is designed for integrated multivariate time series whose long-run equilibrium relationships are subject to structural change, regime shifts, or gradual parameter drift, common in macroeconomic and financial data. | 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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