방법 비교

	벡터 오차 수정 모형 (VECM)	Granger 인과관계 검정
분야	계량경제학	계량경제학
계열	Regression model	Regression model
기원 연도	1987	1969
창시자	Robert F. Engle and Clive W. J. Granger	Clive W. J. Granger
유형	Multivariate time-series model	Causality test (F-test on VAR)
원전	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438.
별칭	VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model	Granger test, GC test, predictive causality test, Granger non-causality test
관련	5	5
요약	The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series.	The Granger causality test is a statistical hypothesis test that determines whether past values of one time series help predict future values of another, beyond what that series' own past already explains. Introduced by Clive Granger in 1969, it is the standard approach for assessing predictive causality in VAR-based time-series analysis.