Porównaj metody
Przeglądaj wybrane metody obok siebie; wiersze, które się różnią, są wyróżnione.
| Test ko-integracji (Johansen / Engle-Granger)× | Model Autoregresji Wektorowej (VAR)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1988 | 2005 |
| Twórca≠ | Engle & Granger (1987); Johansen (1988) | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Typ≠ | Time-series cointegration test | Multivariate time-series model |
| Źródło pierwotne≠ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Inne nazwy | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Pokrewne≠ | 5 | 4 |
| Podsumowanie≠ | The cointegration test examines whether non-stationary time series that each contain a unit root share a stable long-run equilibrium relationship. The single-equation residual approach was introduced by Engle and Granger (1987) and the system-based rank approach by Johansen (1988). | 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). |
| ScholarGateZbiór danych ↗ |
|
|