Salīdzināt metodes
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| Engle-Granger kointegrācijas tests× | Vektora kļūdu labojuma modelis (VECM)× | |
|---|---|---|
| Nozare | Ekonometrija | Ekonometrija |
| Saime | Regression model | Regression model |
| Izcelsmes gads | 1987 | 1987 |
| Autors | Robert F. Engle and Clive W. J. Granger | Robert F. Engle and Clive W. J. Granger |
| Tips≠ | Cointegration test | Multivariate time-series model |
| Pirmavots | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Citi nosaukumi | EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Saistītās | 5 | 5 |
| Kopsavilkums≠ | The Engle-Granger two-step method tests whether two or more non-stationary I(1) time series share a common stochastic trend — that is, whether a linear combination of them is stationary. If cointegration is confirmed, an error-correction model (ECM) can be estimated to capture both short-run dynamics and long-run equilibrium adjustment. | 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. |
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