Salīdzināt metodes

	Robustā Johansena kointegrācijas pārbaude	Vektora kļūdu labojuma modelis (VECM)
Nozare	Ekonometrija	Ekonometrija
Saime	Regression model	Regression model
Izcelsmes gads	1988–2010	1987
Autors	Johansen (1988, 1991); robust extensions by Cavaliere, Rahbek, Taylor (2010) and others	Robert F. Engle and Clive W. J. Granger
Tips	Cointegration rank test (robust variant)	Multivariate time-series model
Pirmavots	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551–1580.	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.
Citi nosaukumi	outlier-robust Johansen test, robust trace test, robust maximum eigenvalue test, robust cointegration rank test	VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model
Saistītās	5	5
Kopsavilkums	The Robust Johansen Cointegration test extends the classical Johansen (1988, 1991) likelihood-ratio framework for determining the cointegrating rank of a multivariate I(1) system to settings where standard Gaussian assumptions fail — in particular when the data exhibit outliers, fat-tailed innovations, or conditional heteroskedasticity. Robust modifications adjust residuals, re-weight observations, or bootstrap critical values so that rank inference remains valid under these violations.	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.