Compara mètodes
Revisa els mètodes seleccionats l'un al costat de l'altre; les files que difereixen es ressalten.
| Test KPSS de Ruptura Estructural× | Test de cointegració d'Engle-Granger× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 2002-2005 | 1987 |
| Autor original≠ | Kurozumi (2002); Carrion-i-Silvestre, Del Barrio & Lopez-Bazo (2005) | Robert F. Engle and Clive W. J. Granger |
| Tipus≠ | Stationarity test with structural breaks | Cointegration test |
| Font seminal≠ | Carrion-i-Silvestre, J. L., Del Barrio, T., & Lopez-Bazo, E. (2005). Breaking the panels: An application to the GDP per capita. Econometrics Journal, 8(2), 159-175. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Àlies | KPSS test with breaks, structural break stationarity test, KPSS break test, SB-KPSS | EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test |
| Relacionats≠ | 6 | 5 |
| Resum≠ | The structural break KPSS test extends the standard Kwiatkowski-Phillips-Schmidt-Shin (KPSS) stationarity test to allow for one or more known or unknown structural breaks in the level or trend of a time series. Under the null hypothesis the series is stationary around a broken deterministic component, enabling researchers to distinguish genuine unit-root behaviour from apparent non-stationarity caused by regime shifts. | The Engle-Granger two-step method tests whether two or more non-stationary I(1) time series share a common stochastic trend — that is, whether a linear combination of them is stationary. If cointegration is confirmed, an error-correction model (ECM) can be estimated to capture both short-run dynamics and long-run equilibrium adjustment. |
| ScholarGateConjunt de dades ↗ |
|
|