השוואת שיטות

	מבחן קואינטגרציה של אנגל-גריינג'ר	מבחן שורש היחידה של פיליפס-פרון
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1987	1988
הוגה השיטה	Robert F. Engle and Clive W. J. Granger	Peter C. B. Phillips and Pierre Perron
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.	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
כינויים	EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test	PP test, PP unit root test, Phillips-Perron test, nonparametric unit root 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 Phillips-Perron (PP) test is a nonparametric unit root test for time series that corrects for serial correlation and heteroscedasticity in the error term without adding lagged differences. Introduced by Phillips and Perron (1988), it applies a kernel-based long-run variance estimator to adjust the Dickey-Fuller statistic, making it robust to a wide class of weakly dependent error processes.