Salīdzināt metodes

	Robustais Vektora kļūdu labojumu modelis (Robust VECM)	Johansena kointegrācijas tests un Vektora kļūdu korekcijas modelis
Nozare	Ekonometrija	Finanses
Saime	Regression model	Regression model
Izcelsmes gads	1997–2001	1991
Autors	Sakata & White (1998); Lucas (1997) — robust cointegrated system estimation	Søren Johansen
Tips	Robust multivariate time-series model	Multivariate cointegration / vector error correction model
Pirmavots	Caner, M., & Kilian, L. (2001). Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for the PPP debate. Journal of International Money and Finance, 20(5), 639-657.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
Citi nosaukumi	robust VECM, outlier-robust VECM, robust cointegration model, robust VEC model	Johansen test, VECM, vector error correction model, multivariate cointegration
Saistītās	1	3
Kopsavilkums	Robust VECM extends the classical Vector Error Correction Model by replacing ordinary least squares estimation with outlier-resistant procedures — such as M-estimators, S-estimators, or least trimmed squares — so that cointegration relationships and short-run adjustment dynamics are estimated reliably even when the multivariate time series contains outliers, structural breaks, or heavy-tailed innovations.	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.