Methoden vergelijken
Bekijk de geselecteerde methoden naast elkaar; rijen die verschillen zijn gemarkeerd.
| Robuuste Vector Error Correction Model (Robuuste VECM)× | Johansen Cointegratietest en Vector Error Correction Model× | |
|---|---|---|
| Vakgebied≠ | Econometrie | Financiering |
| Familie | Regression model | Regression model |
| Jaar van ontstaan≠ | 1997–2001 | 1991 |
| Grondlegger≠ | Sakata & White (1998); Lucas (1997) — robust cointegrated system estimation | Søren Johansen |
| Type≠ | Robust multivariate time-series model | Multivariate cointegration / vector error correction model |
| Oorspronkelijke bron≠ | 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. link ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Aliassen≠ | robust VECM, outlier-robust VECM, robust cointegration model, robust VEC model | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Verwant≠ | 1 | 3 |
| Samenvatting≠ | 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. |
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