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| Strukturbruch-ARDL-Grenzentest× | Engle-Granger-Kointegrationstest× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 2001–2010s | 1987 |
| Urheber≠ | Pesaran, Shin & Smith (bounds framework); structural break extensions by Bahmani-Oskooee, Enders & Jones, and others | Robert F. Engle and Clive W. J. Granger |
| Typ≠ | Cointegration / bounds test | Cointegration test |
| Wegweisende Quelle≠ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Aliasnamen | SB-ARDL bounds test, ARDL bounds test with structural break, Fourier ARDL bounds test, break-augmented bounds testing | EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test |
| Verwandt≠ | 6 | 5 |
| Zusammenfassung≠ | The structural break ARDL bounds test extends the Pesaran, Shin and Smith (2001) bounds testing framework to accommodate one or more structural breaks in the long-run relationship between time-series variables. By incorporating break dummies or smooth Fourier terms into the ARDL error-correction equation, it allows researchers to test for cointegration even when the data have experienced shifts in intercept or slope caused by policy changes, crises, or regime switches. | 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. |
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