Võrdle meetodeid

	Engle-Grangeri kointegratsioonitest	Grangeri põhjuslikkuse test
Valdkond	Ökonomeetria	Ökonomeetria
Perekond	Regression model	Regression model
Tekkeaasta	1987	1969
Looja	Robert F. Engle and Clive W. J. Granger	Clive W. J. Granger
Tüüp	Cointegration test	Causality test (F-test on VAR)
Algallikas	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438.
Rööpnimetused	EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test	Granger test, GC test, predictive causality test, Granger non-causality test
Seotud	5	5
Kokkuvõte	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.	The Granger causality test is a statistical hypothesis test that determines whether past values of one time series help predict future values of another, beyond what that series' own past already explains. Introduced by Clive Granger in 1969, it is the standard approach for assessing predictive causality in VAR-based time-series analysis.