Comparer des méthodes

	Test de Cointégration Robuste de Johansen	Test de cointégration de Johansen sur données de panel
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1988–2010	2001
Auteur d'origine	Johansen (1988, 1991); robust extensions by Cavaliere, Rahbek, Taylor (2010) and others	Larsson, Lyhagen & Lothgren (building on Johansen 1988/1991)
Type	Cointegration rank test (robust variant)	Panel cointegration test
Source fondatrice	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551–1580.	Larsson, R., Lyhagen, J., & Lothgren, M. (2001). Likelihood-based cointegration tests in heterogeneous panels. Econometrics Journal, 4(1), 109–142.
Alias	outlier-robust Johansen test, robust trace test, robust maximum eigenvalue test, robust cointegration rank test	panel Johansen test, Larsson-Lyhagen-Lothgren test, LLL panel cointegration, panel trace test
Apparentées	5	5
Résumé	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 Panel Johansen cointegration test extends Johansen's maximum-likelihood framework to panel data, allowing researchers to test whether multiple non-stationary variables share long-run equilibrium relationships across cross-sectional units. It pools the likelihood-ratio statistics from individual Johansen tests and compares the standardised average against a standard normal distribution, yielding greater power than single-country approaches.