Compară metode

	Modelul Vectorial Neliniar de Corecție a Erorilor (Nonlinear VECM)	Testul de cointegrare Johansen și Modelul Vectorial de Corecție a Erorilor
Domeniu	Econometrie	Finanțe
Familie	Regression model	Regression model
Anul apariției	1989–1998	1991
Autorul original	Granger & Lee (1989); Enders & Granger (1998)	Søren Johansen
Tip	Nonlinear time-series model	Multivariate cointegration / vector error correction model
Sursa seminală	Enders, W., & Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304–311.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
Denumiri alternative	nonlinear VECM, NVECM, threshold VECM, asymmetric VECM	Johansen test, VECM, vector error correction model, multivariate cointegration
Înrudite	2	3
Rezumat	The Nonlinear VECM extends the standard linear VECM by allowing the speed of adjustment toward long-run equilibrium to differ depending on the sign, magnitude, or regime of deviations from that equilibrium. It captures asymmetric or threshold-driven dynamics in cointegrated time-series systems that a standard VECM would miss.	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.