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Structural break Engle-Granger cointegration/Evidence
Method evidence record

Structural break Engle-Granger cointegration

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.

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Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Structural Break Engle-Granger Cointegration Test
Taxonomic method record · regression-model / econometrics
  • Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99-126. · URL
  • Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251-276. · DOI 10.2307/1913236
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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyARDL Bounds Testmachine-suggested · Relational suggestion, not evidence.Same method familyJohansen Cointegration Testmachine-suggested · Relational suggestion, not evidence.

Evidence status

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Sources

2 recorded citations, copied from the method source record.

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