Salīdzināt metodes
Apskatiet izvēlētās metodes blakus; rindas, kas atšķiras, ir izceltas.
| Nelineārais ADF vienības saknes tests (KSS tests)× | Nelineārs vektora kļūdu labojuma modelis (Nelineārs VECM)× | |
|---|---|---|
| Nozare | Ekonometrija | Ekonometrija |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 2003 | 1989–1998 |
| Autors≠ | Kapetanios, Shin, and Snell | Granger & Lee (1989); Enders & Granger (1998) |
| Tips≠ | Nonlinear unit root test | Nonlinear time-series model |
| Pirmavots≠ | Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. DOI ↗ | Enders, W., & Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304–311. DOI ↗ |
| Citi nosaukumi | KSS test, nonlinear unit root test, ESTAR unit root test, Kapetanios-Shin-Snell test | nonlinear VECM, NVECM, threshold VECM, asymmetric VECM |
| Saistītās≠ | 6 | 2 |
| Kopsavilkums≠ | The Nonlinear ADF unit root test, most prominently operationalized by Kapetanios, Shin, and Snell (2003), extends the classical Augmented Dickey-Fuller test to detect mean reversion that occurs via an Exponential Smooth Transition Autoregressive (ESTAR) process. It tests the null of a unit root against a nonlinear stationary alternative, capturing adjustment dynamics that the standard linear ADF test misses. | The Nonlinear VECM extends the standard linear VECM by allowing the speed of adjustment toward long-run equilibrium to differ depending on the sign, magnitude, or regime of deviations from that equilibrium. It captures asymmetric or threshold-driven dynamics in cointegrated time-series systems that a standard VECM would miss. |
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