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。
| 时变参数Engle-Granger协整× | 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≠ | 1987/1999 | 1991 |
| 提出者≠ | Engle & Granger (1987) for cointegration; Park & Hahn (1999) for TVP extension | Søren Johansen |
| 类型≠ | Time-series cointegration model | Multivariate cointegration / vector error correction model |
| 开创性文献≠ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| 别名≠ | TVP Engle-Granger cointegration, time-varying cointegration, TVP-EG cointegration, varying-coefficient cointegration | Johansen test, VECM, vector error correction model, multivariate cointegration |
| 相关 | 3 | 3 |
| 摘要≠ | Time-varying parameter (TVP) Engle-Granger cointegration extends the classical two-step Engle-Granger framework by allowing the long-run relationship between integrated series to evolve over time. Instead of assuming a fixed cointegrating vector, the cointegrating coefficients are modelled as stochastic processes — typically via a random walk — and estimated with the Kalman filter or related state-space methods. | 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. |
| ScholarGate数据集 ↗ |
|
|