Regression modelEconometrics / time series
鲁棒向量纠错模型 (Robust VECM)
Robust VECM 扩展了经典的向量纠错模型，用抗离群值程序（如 M 估计量、S 估计量或最小截尾平方）取代普通最小二乘估计，从而即使在多元时间序列包含离群值、结构性断点或重尾创新时，也能可靠地估计协整关系和短期调整动态。
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来源
- Caner, M., & Kilian, L. (2001). Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for the PPP debate. Journal of International Money and Finance, 20(5), 639-657. link ↗
- Lucas, A. (1997). Robustness of the student t based M-estimator. Communications in Statistics — Theory and Methods, 26(5), 1165-1182. link ↗
如何引用本页
ScholarGate. (2026, June 3). Robust Vector Error Correction Model. ScholarGate. https://scholargate.app/zh/econometrics/robust-vecm
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