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| Robustny test kointegracji Johansena× | Model korekcji błędem (VECM)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1988–2010 | 1987 |
| Twórca≠ | Johansen (1988, 1991); robust extensions by Cavaliere, Rahbek, Taylor (2010) and others | Robert F. Engle and Clive W. J. Granger |
| Typ≠ | Cointegration rank test (robust variant) | Multivariate time-series model |
| Źródło pierwotne≠ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551–1580. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Inne nazwy | outlier-robust Johansen test, robust trace test, robust maximum eigenvalue test, robust cointegration rank test | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Pokrewne | 5 | 5 |
| Podsumowanie≠ | The Robust Johansen Cointegration test extends the classical Johansen (1988, 1991) likelihood-ratio framework for determining the cointegrating rank of a multivariate I(1) system to settings where standard Gaussian assumptions fail — in particular when the data exhibit outliers, fat-tailed innovations, or conditional heteroskedasticity. Robust modifications adjust residuals, re-weight observations, or bootstrap critical values so that rank inference remains valid under these violations. | 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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