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| 구조적 단절 요한센 공적분 검정× | 구조적 단절을 포함하는 벡터 오차 수정 모형 (SB-VECM)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 2000–2001 | 1996–2000 |
| 창시자≠ | Johansen (1988); structural-break extensions by Saikkonen & Lütkepohl (2000) and Lütkepohl, Müller & Saikkonen (2001) | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) |
| 유형≠ | Cointegration test / VECM estimation | Multivariate error correction model with structural breaks |
| 원전≠ | Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254. DOI ↗ | 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 ↗ |
| 별칭 | Johansen cointegration with breaks, break-robust Johansen test, cointegration test with regime shifts, structural change Johansen VECM | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM |
| 관련 | 5 | 5 |
| 요약≠ | The structural break Johansen cointegration test extends the standard maximum-likelihood Johansen procedure to settings where the multivariate time series exhibits level shifts or trend breaks. By incorporating dummy variables or shift regressors into the VECM, the test determines the cointegrating rank without confounding genuine long-run relationships with regime changes. | 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. |
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