Compară metode

	Testul de cointegrare Johansen și Modelul Vectorial de Corecție a Erorilor	Modelul Vectorial de Autoregresie (VAR)
Domeniu	Finanțe	Econometrie
Familie	Regression model	Regression model
Anul apariției	1991	2005
Autorul original	Søren Johansen	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
Tip	Multivariate cointegration / vector error correction model	Multivariate time-series model
Sursa seminală	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
Denumiri alternative	Johansen test, VECM, vector error correction model, multivariate cointegration	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
Înrudite	3	4
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.	Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005).