Methoden vergelijken

	Vector Error Correction Model (VECM)	Granger Causaliteitstest
Vakgebied	Econometrie	Econometrie
Familie	Regression model	Regression model
Jaar van ontstaan	1987	1969
Grondlegger	Robert F. Engle and Clive W. J. Granger	Clive W. J. Granger
Type	Multivariate time-series model	Causality test (F-test on VAR)
Oorspronkelijke bron	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438.
Aliassen	VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model	Granger test, GC test, predictive causality test, Granger non-causality test
Verwant	5	5
Samenvatting	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.	The Granger causality test is a statistical hypothesis test that determines whether past values of one time series help predict future values of another, beyond what that series' own past already explains. Introduced by Clive Granger in 1969, it is the standard approach for assessing predictive causality in VAR-based time-series analysis.