Comparer des méthodes

	Test de racine unitaire de Phillips-Perron (PP)	Test de cointégration (Johansen / Engle-Granger)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1988	1988
Auteur d'origine	Peter C. B. Phillips & Pierre Perron	Engle & Granger (1987); Johansen (1988)
Type	Unit-root test for stationarity	Time-series cointegration test
Source fondatrice	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.	Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254.
Alias	PP test, Phillips-Perron unit root test, Phillips-Perron birim kök testi	Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger)
Apparentées	4	5
Résumé	The Phillips-Perron test, proposed by Peter Phillips and Pierre Perron in 1988, tests for a unit root in a time series, like the Augmented Dickey-Fuller test, but corrects for autocorrelation and heteroskedasticity in the errors non-parametrically rather than by adding lagged differences. It runs a simple Dickey-Fuller regression and then adjusts the test statistic using a long-run variance estimate, so the practitioner need not choose a lag length for the regression itself.	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).