Compara mètodes

	Test de Cointegració Robust d'Engle-Granger	Test de cointegració de Fourier Engle-Granger
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	1987 (base); robust variants 2000s–2020s	2016
Autor original	Engle & Granger (1987); robust extensions by subsequent authors including Hao & Shaffer and others	Enders & Jones (2016), extending Engle & Granger (1987)
Tipus	Cointegration test	Cointegration test
Font seminal	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.	Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics and Econometrics, 20(4), 399–419.
Àlies	robust EG cointegration, outlier-robust cointegration test, robust two-step cointegration, robust EG test	Fourier EG cointegration, Enders-Jones cointegration test, smooth structural break cointegration, FEGC test
Relacionats	5	5
Resum	The Robust Engle-Granger cointegration test adapts the classic two-step Engle-Granger procedure to withstand outliers, heavy-tailed error distributions, and additive noise that can severely distort standard residual-based cointegration inference. By substituting robust regression and robust unit-root testing for classical OLS and ADF steps, it yields reliable conclusions about long-run equilibrium relationships even when the data contain anomalous observations.	The Fourier Engle-Granger cointegration test extends the classic two-step Engle-Granger procedure by embedding low-frequency trigonometric (Fourier) terms in the cointegrating regression. This accommodates an unknown number of smooth structural breaks in the deterministic components without specifying their dates, producing a more powerful test when long-run relationships shift gradually over time.