Regression modelEconometrics / time series
Vector Error Correction Model (VECM)
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.
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Sources
- Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI: 10.2307/1913236 ↗
- Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551–1580. DOI: 10.2307/2938278 ↗
Related methods
Referenced by
ARDL Bounds TestBayesian NARDLBayesian SVAR modelBayesian VECMEngle-Granger Cointegration TestFourier ARDL Bounds TestFourier Engle-Granger cointegrationFourier Johansen cointegrationFourier NARDLFourier VECMGranger Causality TestNonlinear ARDLNonlinear Johansen CointegrationNonlinear SVAR ModelNonlinear VAR ModelPanel Johansen CointegrationPanel SVAR modelPanel VECMRobust Johansen CointegrationRobust SVAR modelStructural break Johansen cointegrationStructural Break NARDLStructural break SVAR modelStructural Break VAR ModelStructural break VECMStructural VARToda-Yamamoto causality testVector Autoregression