Nelinearni VECM (Nonlinear VECM)
Nelinearni VECM proširuje standardni linearni VECM dopuštajući da brzina prilagođavanja dugoročnom ravnotežnom stanju bude različita u zavisnosti od znaka, magnitude ili režima odstupanja od te ravnoteže. On obuhvata asimetrične dinamike ili dinamike vođene pragom u koincidiranim vremenskim serijama koje bi standardni VECM promašio.
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Method map
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Izvori
- 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. DOI: 10.1080/07350015.1998.10524769 ↗
- Granger, C. W. J., & Lee, T. H. (1989). Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models. Journal of Applied Econometrics, 4(S1), S145–S159. DOI: 10.1002/jae.3950040508 ↗
Kako citirati ovu stranicu
ScholarGate. (2026, June 3). Nonlinear Vector Error Correction Model. ScholarGate. https://scholargate.app/sr/econometrics/nonlinear-vecm
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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