Sammenlign metoder

	Granger-kausalitetstest	Kointegrationstest (Johansen / Engle-Granger)
Fagområde	Økonometri	Økonometri
Familie	Regression model	Regression model
Oprindelsesår	1969	1988
Ophavsperson	Clive W. J. Granger	Engle & Granger (1987); Johansen (1988)
Type	Time-series predictive causality test	Time-series cointegration test
Oprindelig kilde	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438.	Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254.
Aliasser	Granger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik Testi	Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger)
Relaterede	5	5
Resumé	The Granger causality test, introduced by Clive W. J. Granger in 1969, assesses whether the past values of one time series help predict another beyond what the latter's own past already explains. It defines causality in a strictly predictive sense rather than as a structural or physical cause.	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).