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| Strukturális törés Engle-Granger kointegrációs teszt× | ARDL Határvizsgálat (Pesaran Határvizsgálat)× | |
|---|---|---|
| Tudományterület | Ökonometria | Ökonometria |
| Módszercsalád | Regression model | Regression model |
| Keletkezés éve≠ | 1996 | 2001 |
| Megalkotó≠ | Gregory & Hansen (1996), extending Engle & Granger (1987) | Pesaran, Shin & Smith |
| Típus≠ | Cointegration test with structural break | Cointegration test / Autoregressive distributed lag model |
| Alapmű≠ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99-126. link ↗ | 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 | Gregory-Hansen cointegration test, cointegration with structural break, EG cointegration with regime shift, residual-based cointegration with break | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) |
| Kapcsolódó≠ | 2 | 4 |
| Összefoglaló≠ | The structural break Engle-Granger cointegration test, most commonly implemented via the Gregory-Hansen (1996) procedure, extends the classical Engle-Granger two-step test to allow for a single unknown structural break in the long-run cointegrating relationship. It tests whether two or more integrated series share a common stochastic trend even when that relationship may have shifted at some point in the sample. | 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. |
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