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Kipimo cha Usanifu wa Johansen kisicho na Mstari

Usanifu wa Johansen kisicho na mstari unapanua mfumo wa kawaida wa Johansen ili kugundua uhusiano wa usawa wa muda mrefu kati ya mfululizo wa nyakati uliounganishwa wakati mchakato wa marekebisho hauna mstari. Kwa kutumia mabadiliko yanayotokana na cheo, mbinu hupima ushirikiano bila kudai utaratibu wa kusahihisha makosa wa mstari, na kuufanya uwe unafaa kwa uhusiano wa kiuchumi unaojulikana na mienendo ya kutofautiana au ya kizingiti.

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Vyanzo

  1. Breitung, J. (2001). Rank tests for nonlinear cointegration. Journal of Business and Economic Statistics, 19(3), 331-340. DOI: 10.1198/073500101681019981
  2. Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551-1580. DOI: 10.2307/2938278

Jinsi ya kunukuu ukurasa huu

ScholarGate. (2026, June 3). Nonlinear Johansen Cointegration Test. ScholarGate. https://scholargate.app/sw/econometrics/nonlinear-johansen-cointegration

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ScholarGateNonlinear Johansen Cointegration (Nonlinear Johansen Cointegration Test). Imepatikana 2026-06-15 kutoka https://scholargate.app/sw/econometrics/nonlinear-johansen-cointegration · Seti ya data: https://doi.org/10.5281/zenodo.20539026