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| 시간 가변 모수 엥글-그레인저 공적분× | 요한센 공적분 검정 및 벡터 오차 수정 모형× | |
|---|---|---|
| 분야≠ | 계량경제학 | 재무학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1987/1999 | 1991 |
| 창시자≠ | Engle & Granger (1987) for cointegration; Park & Hahn (1999) for TVP extension | Søren Johansen |
| 유형≠ | Time-series cointegration model | Multivariate cointegration / vector error correction model |
| 원전≠ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| 별칭≠ | TVP Engle-Granger cointegration, time-varying cointegration, TVP-EG cointegration, varying-coefficient cointegration | Johansen test, VECM, vector error correction model, multivariate cointegration |
| 관련 | 3 | 3 |
| 요약≠ | Time-varying parameter (TVP) Engle-Granger cointegration extends the classical two-step Engle-Granger framework by allowing the long-run relationship between integrated series to evolve over time. Instead of assuming a fixed cointegrating vector, the cointegrating coefficients are modelled as stochastic processes — typically via a random walk — and estimated with the Kalman filter or related state-space methods. | 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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