Linganisha mbinu
Pitia mbinu ulizochagua bega kwa bega; safu zinazotofautiana zinaangaziwa.
| Kielelezo cha Usahihishaji wa Hitilafu wa Kielekezi (VECM)× | Kipimo cha Engle-Granger cha Uko-na-uhusiano× | |
|---|---|---|
| Nyanja | Ekonometriki | Ekonometriki |
| Familia | Regression model | Regression model |
| Mwaka wa asili | 1987 | 1987 |
| Mwanzilishi | Robert F. Engle and Clive W. J. Granger | Robert F. Engle and Clive W. J. Granger |
| Aina≠ | Multivariate time-series model | Cointegration test |
| Chanzo asilia | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Majina mbadala | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model | EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test |
| Zinazohusiana | 5 | 5 |
| Muhtasari≠ | 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. |
| ScholarGateSeti ya data ↗ |
|
|