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	Tiến trình Đồng tích hợp Johansen với Tham số Thay đổi theo Thời gian	Kiểm định Đồng tích hợp Johansen và Mô hình Hiệu chỉnh Sai số Vector
Lĩnh vực	Kinh tế lượng	Tài chính
Họ	Regression model	Regression model
Năm ra đời	1999–2000s	1991
Người khởi xướng	Johansen (1991) seminal; TVP extension by Park & Hahn (1999) and subsequent literature	Søren Johansen
Loại	Cointegration test / model	Multivariate cointegration / vector error correction model
Công trình gốc	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551–1580.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
Tên gọi khác	TVP Johansen cointegration, time-varying cointegration, TVP-VECM cointegration, rolling Johansen cointegration	Johansen test, VECM, vector error correction model, multivariate cointegration
Liên quan	1	3
Tóm tắt	Time-varying parameter (TVP) Johansen cointegration extends the classic Johansen framework by allowing the cointegrating vectors and adjustment speeds to evolve over time. It is designed for integrated multivariate time series whose long-run equilibrium relationships are subject to structural change, regime shifts, or gradual parameter drift, common in macroeconomic and financial data.	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.