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| Тест за коинтеграция на Структурна Промяна на Енгъл-Грейнджър× | Тест за коинтеграция на Йохансен и модел на векторна корекция на грешката× | |
|---|---|---|
| Област≠ | Иконометрия | Финанси |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1996 | 1991 |
| Създател≠ | Gregory & Hansen (1996), extending Engle & Granger (1987) | Søren Johansen |
| Тип≠ | Cointegration test with structural break | Multivariate cointegration / vector error correction model |
| Основополагащ източник≠ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99-126. link ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Други названия≠ | Gregory-Hansen cointegration test, cointegration with structural break, EG cointegration with regime shift, residual-based cointegration with break | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Свързани≠ | 2 | 3 |
| Резюме≠ | The structural break Engle-Granger cointegration test, most commonly implemented via the Gregory-Hansen (1996) procedure, extends the classical Engle-Granger two-step test to allow for a single unknown structural break in the long-run cointegrating relationship. It tests whether two or more integrated series share a common stochastic trend even when that relationship may have shifted at some point in the sample. | 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. |
| ScholarGateНабор от данни ↗ |
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