Comparar métodos

	Teste de Cointegração de Johansen e Modelo de Vetor de Correção de Erros	Modelo ARDL Não Linear (NARDL)
Área	Finanças	Econometria
Família	Regression model	Regression model
Ano de origem	1991	2014
Autor original	Søren Johansen	Shin, Yu & Greenwood-Nimmo
Tipo	Multivariate cointegration / vector error correction model	Nonlinear cointegration model
Fonte seminal	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.	Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. C. Sickles & W. C. Horrace (Eds.), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications (pp. 281–314). Springer.
Outros nomes	Johansen test, VECM, vector error correction model, multivariate cointegration	NARDL, nonlinear bounds test, asymmetric ARDL, asymmetric cointegration model
Relacionados	3	5
Resumo	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.	The Nonlinear ARDL (NARDL) model extends the linear ARDL bounds-testing framework to allow asymmetric long-run and short-run relationships. By decomposing the regressor into cumulative positive and negative partial sums, it tests whether increases and decreases in a variable exert different effects on the outcome — a feature especially relevant in financial and energy economics where positive and negative shocks rarely cancel out symmetrically.