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| Nemlineáris Engle-Granger-féle kointegráció× | ARDL Határvizsgálat (Pesaran Határvizsgálat)× | |
|---|---|---|
| Tudományterület | Ökonometria | Ökonometria |
| Módszercsalád | Regression model | Regression model |
| Keletkezés éve≠ | 1998-2006 | 2001 |
| Megalkotó≠ | Kapetanios, Shin & Snell; Enders & Granger | Pesaran, Shin & Smith |
| Típus≠ | Cointegration test | Cointegration test / Autoregressive distributed lag model |
| Alapmű≠ | Kapetanios, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279-303. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ |
| Alternatív nevek | nonlinear cointegration, threshold cointegration, KSS cointegration, ESTAR cointegration | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) |
| Kapcsolódó≠ | 3 | 4 |
| Összefoglaló≠ | Nonlinear Engle-Granger cointegration extends the classical two-step Engle-Granger procedure to detect long-run equilibria where adjustment toward the equilibrium is nonlinear — for example, faster above than below a threshold, or governed by a smooth transition mechanism. It is widely applied in financial economics, purchasing power parity tests, and commodity price analysis. | The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations. |
| ScholarGateAdatkészlet ↗ |
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