方法对比
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| 向量误差修正模型 (VECM)× | 向量自回归 (VAR)× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1987 | 1980 |
| 提出者≠ | Robert F. Engle and Clive W. J. Granger | Christopher A. Sims |
| 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 ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| 别名 | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| 相关 | 5 | 5 |
| 摘要≠ | 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. | Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance. |
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