Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Тест на коинтеграцию (Йохансен / Энгл-Грейнджер)× | Модель ARIMA (авторегрессионная интегрированная скользящая средняя)× | Тест причинности по Грейнджеру× | |
|---|---|---|---|
| Область | Эконометрика | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model | Regression model |
| Год появления≠ | 1988 | 2015 | 1969 |
| Автор метода≠ | Engle & Granger (1987); Johansen (1988) | Box & Jenkins (Box-Jenkins methodology) | Clive W. J. Granger |
| Тип≠ | Time-series cointegration test | Univariate time-series model | Time-series predictive causality test |
| Основополагающий источник≠ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ | Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021 | Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. DOI ↗ |
| Другие названия≠ | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli | Granger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik Testi |
| Связанные | 5 | 5 | 5 |
| Сводка≠ | The cointegration test examines whether non-stationary time series that each contain a unit root share a stable long-run equilibrium relationship. The single-equation residual approach was introduced by Engle and Granger (1987) and the system-based rank approach by Johansen (1988). | ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015). | The Granger causality test, introduced by Clive W. J. Granger in 1969, assesses whether the past values of one time series help predict another beyond what the latter's own past already explains. It defines causality in a strictly predictive sense rather than as a structural or physical cause. |
| ScholarGateНабор данных ↗ |
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