Comparar métodos

	Modelo de Vetor de Correção de Erros com Rupturas Estruturais (SB-VECM)	Teste de Cointregralidade de Johansen com Ruptura Estrutural
Área	Econometria	Econometria
Família	Regression model	Regression model
Ano de origem	1996–2000	2000–2001
Autor original	Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000)	Johansen (1988); structural-break extensions by Saikkonen & Lütkepohl (2000) and Lütkepohl, Müller & Saikkonen (2001)
Tipo	Multivariate error correction model with structural breaks	Cointegration test / VECM estimation
Fonte seminal	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126.	Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254.
Outros nomes	SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM	Johansen cointegration with breaks, break-robust Johansen test, cointegration test with regime shifts, structural change Johansen VECM
Relacionados	5	5
Resumo	The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes.	The structural break Johansen cointegration test extends the standard maximum-likelihood Johansen procedure to settings where the multivariate time series exhibits level shifts or trend breaks. By incorporating dummy variables or shift regressors into the VECM, the test determines the cointegrating rank without confounding genuine long-run relationships with regime changes.