Сравнение методов

	Модель коррекции ошибок вектора (VECM)	Тест на коинтеграцию Энгла-Грэнджера
Область	Эконометрика	Эконометрика
Семейство	Regression model	Regression model
Год появления	1987	1987
Автор метода	Robert F. Engle and Clive W. J. Granger	Robert F. Engle and Clive W. J. Granger
Тип	Multivariate time-series model	Cointegration test
Основополагающий источник	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.
Другие названия	VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model	EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test
Связанные	5	5
Сводка	The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series.	The Engle-Granger two-step method tests whether two or more non-stationary I(1) time series share a common stochastic trend — that is, whether a linear combination of them is stationary. If cointegration is confirmed, an error-correction model (ECM) can be estimated to capture both short-run dynamics and long-run equilibrium adjustment.