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| Icke-linjär VECM (Nonlinear VECM)× | Johansen-test för kointegration och vektorsfelkorrigeringsmodell× | |
|---|---|---|
| Ämnesområde≠ | Ekonometri | Finansiell ekonomi |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1989–1998 | 1991 |
| Upphovsperson≠ | Granger & Lee (1989); Enders & Granger (1998) | Søren Johansen |
| Typ≠ | Nonlinear time-series model | Multivariate cointegration / vector error correction model |
| Ursprungskälla≠ | 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 ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Alias≠ | nonlinear VECM, NVECM, threshold VECM, asymmetric VECM | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Närliggande≠ | 2 | 3 |
| Sammanfattning≠ | The Nonlinear VECM extends the standard linear VECM by allowing the speed of adjustment toward long-run equilibrium to differ depending on the sign, magnitude, or regime of deviations from that equilibrium. It captures asymmetric or threshold-driven dynamics in cointegrated time-series systems that a standard VECM would miss. | The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium. |
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