Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Prueba de causalidad de Granger× | Prueba de cointegración (Johansen / Engle-Granger)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1969 | 1988 |
| Autor original≠ | Clive W. J. Granger | Engle & Granger (1987); Johansen (1988) |
| Tipo≠ | Time-series predictive causality test | Time-series cointegration test |
| Fuente seminal≠ | Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. DOI ↗ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ |
| Alias | 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) |
| Relacionados | 5 | 5 |
| Resumen≠ | 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). |
| ScholarGateConjunto de datos ↗ |
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