Regression modelEconometrics / time series

Robust Vector Error Correction Model (Robust VECM)

Robust VECM extends the classical Vector Error Correction Model by replacing ordinary least squares estimation with outlier-resistant procedures — such as M-estimators, S-estimators, or least trimmed squares — so that cointegration relationships and short-run adjustment dynamics are estimated reliably even when the multivariate time series contains outliers, structural breaks, or heavy-tailed innovations.

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Sources

  1. Caner, M., & Kilian, L. (2001). Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for the PPP debate. Journal of International Money and Finance, 20(5), 639-657. link
  2. Lucas, A. (1997). Robustness of the student t based M-estimator. Communications in Statistics — Theory and Methods, 26(5), 1165-1182. link

Related methods

Referenced by

ScholarGateRobust VECM (Robust Vector Error Correction Model). Retrieved 2026-06-04 from https://scholargate.app/tr/econometrics/robust-vecm