Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Prueba de Causalidad de Granger Robusta× | Prueba de cointegración (Johansen / Engle-Granger)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 2006 (robust variant); 1969 (original Granger) | 1988 |
| Autor original≠ | Hacker & Hatemi-J (robust bootstrap variant); Granger (original causality concept) | Engle & Granger (1987); Johansen (1988) |
| Tipo≠ | Hypothesis test | Time-series cointegration test |
| Fuente seminal≠ | Hacker, R. S., & Hatemi-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: Theory and application. Applied Economics, 38(13), 1489–1500. DOI ↗ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ |
| Alias | bootstrap Granger causality, heteroscedasticity-robust Granger causality, non-asymptotic Granger causality test, RGC | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) |
| Relacionados≠ | 4 | 5 |
| Resumen≠ | Robust Granger causality extends the classic Granger causality framework by using bootstrap-based or heteroscedasticity-robust critical values rather than asymptotic chi-squared tables. This makes the test reliable in finite samples and when the data exhibit non-normality, heteroscedasticity, or near-integration, settings where the standard F- or Wald-based test is known to over-reject. | 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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