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| Kointegracijski test (Johansen / Engle-Granger)× | Regresija običnih najmanjih kvadrata (OLS)× | |
|---|---|---|
| Područje | Ekonometrija | Ekonometrija |
| Obitelj | Regression model | Regression model |
| Godina nastanka≠ | 1988 | 2019 |
| Tvorac≠ | Engle & Granger (1987); Johansen (1988) | Wooldridge (textbook treatment); classical least squares |
| Vrsta≠ | Time-series cointegration test | Linear regression |
| Temeljni izvor≠ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| Drugi nazivi | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| Srodne | 5 | 5 |
| Sažetak≠ | 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). | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
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