Comparer des méthodes

	Test de Cointégration de Rupture Structurelle d'Engle-Granger	Test de cointégration de Johansen et modèle à correction d'erreur vectoriel
Domaine	Économétrie	Finance
Famille	Regression model	Regression model
Année d'origine	1996	1991
Auteur d'origine	Gregory & Hansen (1996), extending Engle & Granger (1987)	Søren Johansen
Type	Cointegration test with structural break	Multivariate cointegration / vector error correction model
Source fondatrice	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99-126.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
Alias	Gregory-Hansen cointegration test, cointegration with structural break, EG cointegration with regime shift, residual-based cointegration with break	Johansen test, VECM, vector error correction model, multivariate cointegration
Apparentées	2	3
Résumé	The structural break Engle-Granger cointegration test, most commonly implemented via the Gregory-Hansen (1996) procedure, extends the classical Engle-Granger two-step test to allow for a single unknown structural break in the long-run cointegrating relationship. It tests whether two or more integrated series share a common stochastic trend even when that relationship may have shifted at some point in the sample.	The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium.