Сравнение методов

	Модель коррекции ошибок вектора со структурными сдвигами (SB-VECM)	Тест Йохансена на коинтеграцию со структурным разрывом
Область	Эконометрика	Эконометрика
Семейство	Regression model	Regression model
Год появления	1996–2000	2000–2001
Автор метода	Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000)	Johansen (1988); structural-break extensions by Saikkonen & Lütkepohl (2000) and Lütkepohl, Müller & Saikkonen (2001)
Тип	Multivariate error correction model with structural breaks	Cointegration test / VECM estimation
Основополагающий источник	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126.	Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254.
Другие названия	SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM	Johansen cointegration with breaks, break-robust Johansen test, cointegration test with regime shifts, structural change Johansen VECM
Связанные	5	5
Сводка	The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes.	The structural break Johansen cointegration test extends the standard maximum-likelihood Johansen procedure to settings where the multivariate time series exhibits level shifts or trend breaks. By incorporating dummy variables or shift regressors into the VECM, the test determines the cointegrating rank without confounding genuine long-run relationships with regime changes.