Compară metode

	Modelul Bayesian Vectorial de Corecție a Erorii (Bayesian VECM)	Modelul Panel Vectorial cu Corecție de Eroare (Panel VECM)
Domeniu	Econometrie	Econometrie
Familie	Regression model	Regression model
Anul apariției	2002–2005	1987–1995
Autorul original	Kleibergen & Paap; Villani	Engle & Granger (1987) for VECM; Holtz-Eakin, Newey & Rosen (1988) for panel VAR extension
Tip	Bayesian multivariate time series model	Multivariate dynamic panel model
Sursa seminală	Kleibergen, F., & Paap, R. (2002). Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration. Journal of Econometrics, 111(2), 223–249.	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.
Denumiri alternative	Bayesian VECM, B-VECM, Bayesian cointegrated VAR, Bayesian vector error correction	Panel VECM, panel vector error correction model, PVECM, panel cointegrating VAR
Înrudite	5	5
Rezumat	The Bayesian VECM combines the classical Vector Error Correction Model — which captures both short-run dynamics and long-run cointegrating relationships among non-stationary multivariate time series — with Bayesian prior distributions over the cointegrating rank and coefficient matrices. This allows principled uncertainty quantification, incorporation of economic theory as priors, and coherent inference even in small samples.	Panel VECM combines vector error correction modelling with panel data, simultaneously capturing the long-run cointegrating equilibrium among multiple I(1) variables and their short-run adjustment dynamics across multiple cross-sectional units. It is the standard framework when panel variables share at least one common stochastic trend.