Compara mètodes

	Test de Cointegració Robust d'Engle-Granger	Prova de cointegració d'Engle-Granger amb trencament estructural
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	1987 (base); robust variants 2000s–2020s	1996
Autor original	Engle & Granger (1987); robust extensions by subsequent authors including Hao & Shaffer and others	Gregory & Hansen (1996), extending Engle & Granger (1987)
Tipus	Cointegration test	Cointegration test with structural break
Font seminal	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99-126.
Àlies	robust EG cointegration, outlier-robust cointegration test, robust two-step cointegration, robust EG test	Gregory-Hansen cointegration test, cointegration with structural break, EG cointegration with regime shift, residual-based cointegration with break
Relacionats	5	2
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 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.