Módszerek összehasonlítása

	Hatemi-J kointegrációs teszt két rezsimváltással	Kointegrációs teszt (Johansen / Engle-Granger)
Tudományterület	Ökonometria	Ökonometria
Módszercsalád	Hypothesis test	Regression model
Keletkezés éve	2008	1988
Megalkotó	Abdulnasser Hatemi-J	Engle & Granger (1987); Johansen (1988)
Típus	Residual-based cointegration test with two structural breaks	Time-series cointegration test
Alapmű	Hatemi-J, A. (2008). Tests for cointegration with two unknown regime shifts with an application to financial market integration. Empirical Economics, 35(3), 497–505.	Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254.
Alternatív nevek	Hatemi-J Test, Two-Break Cointegration Test, Cointegration Test with Two Regime Shifts, Hatemi-J İki Kırılmalı Eşbütünleşme Testi	Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger)
Kapcsolódó	3	5
Összefoglaló	The Hatemi-J cointegration test, introduced by Abdulnasser Hatemi-J in 2008, tests for a long-run equilibrium relationship between integrated time series while allowing for up to two unknown structural breaks in the cointegrating vector. It extends earlier single-break approaches by permitting both the intercept and slope coefficients of the cointegrating regression to shift at two endogenously determined breakpoints, making it particularly suited for economic and financial data spanning periods of major institutional or policy change.	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).