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| Vektorhibakorrekciós modell strukturális törésekkel (SB-VECM)× | Nemlineáris Vektorhibakorrekciós Modell (Nonlinear VECM)× | |
|---|---|---|
| Tudományterület | Ökonometria | Ökonometria |
| Módszercsalád | Regression model | Regression model |
| Keletkezés éve≠ | 1996–2000 | 1989–1998 |
| Megalkotó≠ | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) | Granger & Lee (1989); Enders & Granger (1998) |
| Típus≠ | Multivariate error correction model with structural breaks | Nonlinear time-series model |
| Alapmű≠ | 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 ↗ | Enders, W., & Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304–311. DOI ↗ |
| Alternatív nevek | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM | nonlinear VECM, NVECM, threshold VECM, asymmetric VECM |
| Kapcsolódó≠ | 5 | 2 |
| Összefoglaló≠ | 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. | The Nonlinear VECM extends the standard linear VECM by allowing the speed of adjustment toward long-run equilibrium to differ depending on the sign, magnitude, or regime of deviations from that equilibrium. It captures asymmetric or threshold-driven dynamics in cointegrated time-series systems that a standard VECM would miss. |
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