Salīdzināt metodes
Apskatiet izvēlētās metodes blakus; rindas, kas atšķiras, ir izceltas.
| Vektora autoregresijas (VAR) modelis× | ARDL robežu tests (Pesaran robežu tests)× | |
|---|---|---|
| Nozare | Ekonometrija | Ekonometrija |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 2005 | 2001 |
| Autors≠ | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition | Pesaran, Shin & Smith |
| Tips≠ | Multivariate time-series model | Cointegration test / Autoregressive distributed lag model |
| Pirmavots≠ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ |
| Citi nosaukumi | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) |
| Saistītās | 4 | 4 |
| Kopsavilkums≠ | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). | The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations. |
| ScholarGateDatu kopa ↗ |
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