方法对比
并排查看您选择的方法；存在差异的行会高亮显示。
| ARIMA（自回归积分滑动平均）模型× | Johansen协整检验与向量误差修正模型× | |
|---|---|---|
| 领域≠ | 计量经济学 | 金融学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2015 | 1991 |
| 提出者≠ | Box & Jenkins (Box-Jenkins methodology) | Søren Johansen |
| 类型≠ | Univariate time-series model | Multivariate cointegration / vector error correction model |
| 开创性文献≠ | Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021 | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| 别名≠ | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli | Johansen test, VECM, vector error correction model, multivariate cointegration |
| 相关≠ | 5 | 3 |
| 摘要≠ | ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015). | 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. |
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