Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Модель векторной авторегрессии (VAR)× | Тест границ ARDL (Pesaran Bounds Test)× | Регрессия методом обыкновенных наименьших квадратов (ОНМК)× | |
|---|---|---|---|
| Область | Эконометрика | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model | Regression model |
| Год появления≠ | 2005 | 2001 | 2019 |
| Автор метода≠ | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition | Pesaran, Shin & Smith | Wooldridge (textbook treatment); classical least squares |
| Тип≠ | Multivariate time-series model | Cointegration test / Autoregressive distributed lag model | Linear regression |
| Основополагающий источник≠ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| Другие названия | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| Связанные≠ | 4 | 4 | 5 |
| Сводка≠ | 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). | The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
| ScholarGateНабор данных ↗ |
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