Salīdzināt metodes

	Nelineārais Johansena kointegrācijas tests	Johansena kointegrācijas tests un Vektora kļūdu korekcijas modelis
Nozare	Ekonometrija	Finanses
Saime	Regression model	Regression model
Izcelsmes gads	2001	1991
Autors	Breitung (2001), building on Johansen (1988, 1991)	Søren Johansen
Tips	Nonparametric rank-based cointegration test	Multivariate cointegration / vector error correction model
Pirmavots	Breitung, J. (2001). Rank tests for nonlinear cointegration. Journal of Business and Economic Statistics, 19(3), 331-340.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
Citi nosaukumi	nonlinear cointegration test, threshold Johansen cointegration, rank test for nonlinear cointegration, nonlinear VECM cointegration	Johansen test, VECM, vector error correction model, multivariate cointegration
Saistītās	3	3
Kopsavilkums	Nonlinear Johansen cointegration extends the classical Johansen framework to detect long-run equilibrium relationships among integrated time series when the adjustment process is nonlinear. Using rank-based transformations, the approach tests for cointegration without assuming a linear error-correction mechanism, making it suitable for economic relationships characterized by asymmetric or threshold dynamics.	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.