Confronta i metodi
Esamina i metodi selezionati fianco a fianco; le righe che differiscono sono evidenziate.
| Test di Cointegrazione di Johansen con Termini di Fourier× | Test di Cointegrazione di Engle-Granger× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 2012 (Fourier extension); 1988 (Johansen original) | 1987 |
| Ideatore≠ | Enders & Lee (Fourier extension); Johansen (original trace/max-eigenvalue test) | Robert F. Engle and Clive W. J. Granger |
| Tipo≠ | Cointegration test with smooth structural breaks | Cointegration test |
| Fonte seminale≠ | Enders, W., & Lee, J. (2012). A unit root test using a Fourier series to approximate smooth breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574–599. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Alias | Fourier Johansen test, Fourier-Johansen trace test, smooth-break Johansen cointegration, FJ cointegration | EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test |
| Correlati | 5 | 5 |
| Sintesi≠ | The Fourier Johansen cointegration test extends the classical Johansen trace and maximum-eigenvalue tests by embedding low-frequency Fourier terms in the deterministic component of the VECM. This allows the test to remain valid when cointegrating relationships experience gradual, smooth regime shifts that standard Johansen critical values do not accommodate. | 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. |
| ScholarGateInsieme di dati ↗ |
|
|