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| 含结构性断点的向量误差修正模型 (SB-VECM)× | 向量误差修正模型 (VECM)× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1996–2000 | 1987 |
| 提出者≠ | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) | Robert F. Engle and Clive W. J. Granger |
| 类型≠ | Multivariate error correction model with structural breaks | Multivariate time-series model |
| 开创性文献≠ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| 别名 | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| 相关 | 5 | 5 |
| 摘要≠ | The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. | The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series. |
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