Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Johansen Cointegration Test× | Тест меж ARDL (Тест меж Pesaran)× | |
|---|---|---|
| Галузь≠ | Фінанси | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1991 | 2001 |
| Автор методу≠ | Søren Johansen | Pesaran, Shin & Smith |
| Тип≠ | Multivariate cointegration / vector error correction model | Cointegration test / Autoregressive distributed lag model |
| Основоположне джерело≠ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ |
| Інші назви≠ | Johansen test, VECM, vector error correction model, multivariate cointegration | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) |
| Пов'язані≠ | 3 | 4 |
| Підсумок≠ | The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium. | The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations. |
| ScholarGateНабір даних ↗ |
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