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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× | 非線形ARDL (NARDL) 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 | 2014 |
| 提唱者≠ | Søren Johansen | Shin, Yu & Greenwood-Nimmo |
| 種類≠ | Multivariate cointegration / vector error correction model | Nonlinear cointegration model |
| 原典≠ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ | Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. C. Sickles & W. C. Horrace (Eds.), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications (pp. 281–314). Springer. link ↗ |
| 別名≠ | Johansen test, VECM, vector error correction model, multivariate cointegration | NARDL, nonlinear bounds test, asymmetric ARDL, asymmetric cointegration model |
| 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. | The Nonlinear ARDL (NARDL) model extends the linear ARDL bounds-testing framework to allow asymmetric long-run and short-run relationships. By decomposing the regressor into cumulative positive and negative partial sums, it tests whether increases and decreases in a variable exert different effects on the outcome — a feature especially relevant in financial and energy economics where positive and negative shocks rarely cancel out symmetrically. |
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