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| ヨハンセンの共和分検定とベクトル誤差修正モデル× | ARIMA（自己回帰和分移動平均）モデル× | |
|---|---|---|
| 分野≠ | ファイナンス | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1991 | 2015 |
| 提唱者≠ | Søren Johansen | Box & Jenkins (Box-Jenkins methodology) |
| 種類≠ | Multivariate cointegration / vector error correction model | Univariate time-series model |
| 原典≠ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ | Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021 |
| 別名≠ | Johansen test, VECM, vector error correction model, multivariate cointegration | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli |
| 関連≠ | 3 | 5 |
| 概要≠ | 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. | ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015). |
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