Linganisha mbinu
Pitia mbinu ulizochagua bega kwa bega; safu zinazotofautiana zinaangaziwa.
| Kipimo cha ushirikiano (Johansen / Engle-Granger)× | Urejeshaji wa Njia ya Viwango Vidogo vya Kawaida (OLS)× | Muundo wa Uhusiano wa Kiotomatiki wa Vecta (VAR)× | |
|---|---|---|---|
| Nyanja | Ekonometriki | Ekonometriki | Ekonometriki |
| Familia | Regression model | Regression model | Regression model |
| Mwaka wa asili≠ | 1988 | 2019 | 2005 |
| Mwanzilishi≠ | Engle & Granger (1987); Johansen (1988) | Wooldridge (textbook treatment); classical least squares | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Aina≠ | Time-series cointegration test | Linear regression | Multivariate time-series model |
| Chanzo asilia≠ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Majina mbadala | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Zinazohusiana≠ | 5 | 5 | 4 |
| Muhtasari≠ | The cointegration test examines whether non-stationary time series that each contain a unit root share a stable long-run equilibrium relationship. The single-equation residual approach was introduced by Engle and Granger (1987) and the system-based rank approach by Johansen (1988). | 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). | 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). |
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