Methoden vergelijken
Bekijk de geselecteerde methoden naast elkaar; rijen die verschillen zijn gemarkeerd.
| Vector Autoregressie (VAR)× | Vector Error Correction Model (VECM)× | |
|---|---|---|
| Vakgebied | Econometrie | Econometrie |
| Familie | Regression model | Regression model |
| Jaar van ontstaan≠ | 1980 | 1987 |
| Grondlegger≠ | Christopher A. Sims | Robert F. Engle and Clive W. J. Granger |
| Type | Multivariate time-series model | Multivariate time-series model |
| Oorspronkelijke bron≠ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Aliassen | VAR, VAR model, vector autoregressive model, multivariate autoregression | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Verwant | 5 | 5 |
| Samenvatting≠ | Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance. | 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. |
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