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| Тест за коинтеграция (Йохансен / Енгъл-Грейнджър)× | Тест за стационарност KPSS× | Тест на Филипс-Пърън (PP) за единичен корен× | |
|---|---|---|---|
| Област | Иконометрия | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model | Regression model |
| Година на възникване≠ | 1988 | 1992 | 1988 |
| Създател≠ | Engle & Granger (1987); Johansen (1988) | Kwiatkowski, Phillips, Schmidt & Shin | Peter C. B. Phillips & Pierre Perron |
| Тип≠ | Time-series cointegration test | Stationarity test (reverse of unit-root tests) | Unit-root test for stationarity |
| Основополагащ източник≠ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ | Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1–3), 159–178. DOI ↗ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ |
| Други названия≠ | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi | PP test, Phillips-Perron unit root test, Phillips-Perron birim kök testi |
| Свързани≠ | 5 | 4 | 4 |
| Резюме≠ | The cointegration test examines whether non-stationary time series that each contain a unit root share a stable long-run equilibrium relationship. The single-equation residual approach was introduced by Engle and Granger (1987) and the system-based rank approach by Johansen (1988). | The KPSS test, introduced by Kwiatkowski, Phillips, Schmidt and Shin in 1992, tests the null hypothesis that a series is stationary against the alternative that it contains a unit root — the reverse of the ADF and Phillips-Perron tests. By flipping the burden of proof, it is designed to be used alongside unit-root tests so that the two can confirm one another and expose ambiguous, borderline cases. | The Phillips-Perron test, proposed by Peter Phillips and Pierre Perron in 1988, tests for a unit root in a time series, like the Augmented Dickey-Fuller test, but corrects for autocorrelation and heteroskedasticity in the errors non-parametrically rather than by adding lagged differences. It runs a simple Dickey-Fuller regression and then adjusts the test statistic using a long-run variance estimate, so the practitioner need not choose a lag length for the regression itself. |
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