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。
| 非线性恩格尔-格兰杰协整× | ARDL 边界检验（Pesaran 边界检验）× | Johansen协整检验与向量误差修正模型× | |
|---|---|---|---|
| 领域≠ | 计量经济学 | 计量经济学 | 金融学 |
| 方法族 | Regression model | Regression model | Regression model |
| 起源年份≠ | 1998-2006 | 2001 | 1991 |
| 提出者≠ | Kapetanios, Shin & Snell; Enders & Granger | Pesaran, Shin & Smith | Søren Johansen |
| 类型≠ | Cointegration test | Cointegration test / Autoregressive distributed lag model | Multivariate cointegration / vector error correction model |
| 开创性文献≠ | Kapetanios, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279-303. DOI ↗ | 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. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| 别名≠ | nonlinear cointegration, threshold cointegration, KSS cointegration, ESTAR cointegration | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) | Johansen test, VECM, vector error correction model, multivariate cointegration |
| 相关≠ | 3 | 4 | 3 |
| 摘要≠ | Nonlinear Engle-Granger cointegration extends the classical two-step Engle-Granger procedure to detect long-run equilibria where adjustment toward the equilibrium is nonlinear — for example, faster above than below a threshold, or governed by a smooth transition mechanism. It is widely applied in financial economics, purchasing power parity tests, and commodity price analysis. | 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. | 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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