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| 非線形エンゲル・グランジャー共和分× | ヨハンセンの共和分検定とベクトル誤差修正モデル× | |
|---|---|---|
| 分野≠ | 計量経済学 | ファイナンス |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1998-2006 | 1991 |
| 提唱者≠ | Kapetanios, Shin & Snell; Enders & Granger | Søren Johansen |
| 種類≠ | Cointegration test | Multivariate cointegration / vector error correction model |
| 原典≠ | Kapetanios, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279-303. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| 別名≠ | nonlinear cointegration, threshold cointegration, KSS cointegration, ESTAR cointegration | Johansen test, VECM, vector error correction model, multivariate cointegration |
| 関連 | 3 | 3 |
| 概要≠ | Nonlinear Engle-Granger cointegration extends the classical two-step Engle-Granger procedure to detect long-run equilibria where adjustment toward the equilibrium is nonlinear — for example, faster above than below a threshold, or governed by a smooth transition mechanism. It is widely applied in financial economics, purchasing power parity tests, and commodity price analysis. | 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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