Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Нелінійний тест коінтеграції Йохансена× | Johansen Cointegration Test× | |
|---|---|---|
| Галузь≠ | Економетрика | Фінанси |
| Родина | Regression model | Regression model |
| Рік появи≠ | 2001 | 1991 |
| Автор методу≠ | Breitung (2001), building on Johansen (1988, 1991) | Søren Johansen |
| Тип≠ | Nonparametric rank-based cointegration test | Multivariate cointegration / vector error correction model |
| Основоположне джерело≠ | Breitung, J. (2001). Rank tests for nonlinear cointegration. Journal of Business and Economic Statistics, 19(3), 331-340. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Інші назви≠ | nonlinear cointegration test, threshold Johansen cointegration, rank test for nonlinear cointegration, nonlinear VECM cointegration | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Пов'язані | 3 | 3 |
| Підсумок≠ | Nonlinear Johansen cointegration extends the classical Johansen framework to detect long-run equilibrium relationships among integrated time series when the adjustment process is nonlinear. Using rank-based transformations, the approach tests for cointegration without assuming a linear error-correction mechanism, making it suitable for economic relationships characterized by asymmetric or threshold dynamics. | 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. |
| ScholarGateНабір даних ↗ |
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