השוואת שיטות

	מבחן קואינטגרציה של אנגל-גריינג'ר	מבחן שורש יחידה אוגמנטטיבי של דיקי-פולר (ADF)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1987	1979–1984
הוגה השיטה	Robert F. Engle and Clive W. J. Granger	Said & Dickey (1984); building on Dickey & Fuller (1979)
סוג	Cointegration test	Hypothesis test (unit root)
מקור מכונן	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.	Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607.
כינויים	EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test	ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test
קשורות	5	5
תקציר	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 Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance.