方法对比
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| 向量误差修正模型 (VECM)× | 向量自回归 (VAR) 模型× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1987 | 2005 |
| 提出者≠ | Engle & Granger | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| 类型 | Multivariate time-series model | Multivariate time-series 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 ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| 别名 | vector error correction model, error correction model, cointegration model, VECM (Vektör Hata Düzeltme Modeli) | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| 相关 | 4 | 4 |
| 摘要≠ | The Vector Error Correction Model is a multivariate time-series model for cointegrated series that captures both their short-run dynamics and their long-run equilibrium relationship. It was introduced by Engle and Granger in 1987 as part of the cointegration and error-correction framework. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
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