Compară metode

	Testul de cointegrare Johansen și Modelul Vectorial de Corecție a Erorilor	Modelul ARDL neliniar (NARDL)
Domeniu	Finanțe	Econometrie
Familie	Regression model	Regression model
Anul apariției	1991	2014
Autorul original	Søren Johansen	Shin, Yu & Greenwood-Nimmo
Tip	Multivariate cointegration / vector error correction model	Nonlinear cointegration model
Sursa seminală	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.
Denumiri alternative	Johansen test, VECM, vector error correction model, multivariate cointegration	NARDL, nonlinear bounds test, asymmetric ARDL, asymmetric cointegration model
Înrudite	3	5
Rezumat	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.