Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Надійний ARDL-тест на коінтеграцію× | Johansen Cointegration Test× | |
|---|---|---|
| Галузь≠ | Економетрика | Фінанси |
| Родина | Regression model | Regression model |
| Рік появи≠ | 2019 | 1991 |
| Автор методу≠ | Sam, McNown & Goh | Søren Johansen |
| Тип≠ | Cointegration test | Multivariate cointegration / vector error correction model |
| Основоположне джерело≠ | Sam, C. Y., McNown, R., & Goh, S. K. (2019). An augmented autoregressive distributed lag bounds test for cointegration. Economic Modelling, 80, 130-141. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Інші назви≠ | Robust ARDL, Robust bounds testing approach, Sam-McNown-Goh bounds test, Bootstrap ARDL bounds test | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Пов'язані | 3 | 3 |
| Підсумок≠ | The Robust ARDL bounds test is an augmented version of the Pesaran-Shin-Smith (2001) ARDL bounds testing approach that resolves its two key weaknesses: size distortion under mixed integration orders and the degenerate-case problem. It introduces three separate test statistics — an overall F-test and two new Wald statistics for the dependent and independent variables — evaluated against bootstrap-generated critical values. | 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 ↗ |
|
|