方法对比

	Johansen协整检验与向量误差修正模型	ARDL 边界检验（Pesaran 边界检验）	ARIMA（自回归积分滑动平均）模型
领域	金融学	计量经济学	计量经济学
方法族	Regression model	Regression model	Regression model
起源年份	1991	2001	2015
提出者	Søren Johansen	Pesaran, Shin & Smith	Box & Jenkins (Box-Jenkins methodology)
类型	Multivariate cointegration / vector error correction model	Cointegration test / Autoregressive distributed lag model	Univariate time-series model
开创性文献	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.	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.	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
别名	Johansen test, VECM, vector error correction model, multivariate cointegration	Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test)	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli
相关	3	4	5
摘要	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.	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).