Comparar métodos

	Prueba de Cointegración Robusta de Johansen	Prueba Robusta de Cointegración de Engle-Granger
Campo	Econometría	Econometría
Familia	Regression model	Regression model
Año de origen	1988–2010	1987 (base); robust variants 2000s–2020s
Autor original	Johansen (1988, 1991); robust extensions by Cavaliere, Rahbek, Taylor (2010) and others	Engle & Granger (1987); robust extensions by subsequent authors including Hao & Shaffer and others
Tipo	Cointegration rank test (robust variant)	Cointegration test
Fuente seminal	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551–1580.	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.
Alias	outlier-robust Johansen test, robust trace test, robust maximum eigenvalue test, robust cointegration rank test	robust EG cointegration, outlier-robust cointegration test, robust two-step cointegration, robust EG test
Relacionados	5	5
Resumen	The Robust Johansen Cointegration test extends the classical Johansen (1988, 1991) likelihood-ratio framework for determining the cointegrating rank of a multivariate I(1) system to settings where standard Gaussian assumptions fail — in particular when the data exhibit outliers, fat-tailed innovations, or conditional heteroskedasticity. Robust modifications adjust residuals, re-weight observations, or bootstrap critical values so that rank inference remains valid under these violations.	The Robust Engle-Granger cointegration test adapts the classic two-step Engle-Granger procedure to withstand outliers, heavy-tailed error distributions, and additive noise that can severely distort standard residual-based cointegration inference. By substituting robust regression and robust unit-root testing for classical OLS and ADF steps, it yields reliable conclusions about long-run equilibrium relationships even when the data contain anomalous observations.