Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Test reziduí Phillips-Ouliaris× | Test kointegrace (Johansen / Engle-Granger)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina≠ | Hypothesis test | Regression model |
| Rok vzniku≠ | 1990 | 1988 |
| Tvůrce≠ | Peter Phillips & Sam Ouliaris | Engle & Granger (1987); Johansen (1988) |
| Typ≠ | Residual-based nonparametric cointegration test | Time-series cointegration test |
| Původní zdroj≠ | Phillips, P. C. B., & Ouliaris, S. (1990). Asymptotic properties of residual based tests for cointegration. Econometrica, 58(1), 165–193. DOI ↗ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ |
| Další názvy | Phillips-Ouliaris Cointegration Test, PO Residual-Based Test, Residual-Based Cointegration Test, Phillips-Ouliaris Eşbütünleşme Testi | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) |
| Příbuzné≠ | 2 | 5 |
| Shrnutí≠ | The Phillips-Ouliaris test, introduced by Phillips and Ouliaris in their 1990 Econometrica article, is a residual-based nonparametric procedure for testing the null hypothesis of no cointegration among a set of integrated I(1) time series. It corrects OLS residuals from a cointegrating regression for serial correlation and endogeneity using kernel-based long-run variance estimators, yielding two statistics—Z_alpha (variance-ratio) and Z_t (normalized coefficient)—whose asymptotic distributions are tabulated specifically for systems with multiple stochastic regressors. | 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). |
| ScholarGateDatová sada ↗ |
|
|