Vertaile menetelmiä
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| Hatemi-J -yhteisintegraatiotesti kahdella rekyymimuutoksella× | Gregory-Hansenin kointegraatiotesti rakennemuutoksella× | |
|---|---|---|
| Tieteenala | Ekonometria | Ekonometria |
| Menetelmäperhe | Hypothesis test | Hypothesis test |
| Syntyvuosi≠ | 2008 | 1996 |
| Kehittäjä≠ | Abdulnasser Hatemi-J | Allan Gregory & Bruce Hansen |
| Tyyppi≠ | Residual-based cointegration test with two structural breaks | Residual-based structural break cointegration test |
| Alkuperäislähde≠ | Hatemi-J, A. (2008). Tests for cointegration with two unknown regime shifts with an application to financial market integration. Empirical Economics, 35(3), 497–505. DOI ↗ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ |
| Rinnakkaisnimet | Hatemi-J Test, Two-Break Cointegration Test, Cointegration Test with Two Regime Shifts, Hatemi-J İki Kırılmalı Eşbütünleşme Testi | GH Cointegration Test, Gregory-Hansen Regime Shift Test, Residual-Based Cointegration Test with Structural Break, Rejim Değişimli Koentegrasyon Testi |
| Liittyvät | 3 | 3 |
| Tiivistelmä≠ | The Hatemi-J cointegration test, introduced by Abdulnasser Hatemi-J in 2008, tests for a long-run equilibrium relationship between integrated time series while allowing for up to two unknown structural breaks in the cointegrating vector. It extends earlier single-break approaches by permitting both the intercept and slope coefficients of the cointegrating regression to shift at two endogenously determined breakpoints, making it particularly suited for economic and financial data spanning periods of major institutional or policy change. | The Gregory-Hansen test, introduced by Allan Gregory and Bruce Hansen in 1996, extends the standard Engle-Granger cointegration framework to allow for a single unknown structural break in the cointegrating relationship. It is designed for researchers who suspect that the long-run equilibrium between integrated variables may have shifted at some point during the sample period, and who wish to test for cointegration without presupposing the break date. |
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