Comparer des méthodes

	Test de cointégration d'Engle-Granger	Modèle à Correction d'Erreur Vectorielle (VECM)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1987	1987
Auteur d'origine	Robert F. Engle and Clive W. J. Granger	Robert F. Engle and Clive W. J. Granger
Type	Cointegration test	Multivariate time-series model
Source fondatrice	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.
Alias	EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test	VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model
Apparentées	5	5
Résumé	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 Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series.