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| 構造的ブレーク点ヨハンセン検定 (Structural Break Johansen Cointegration Test)× | 構造的ブレークを持つエンゲル・グランジャー共和分検定× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 2000–2001 | 1996 |
| 提唱者≠ | Johansen (1988); structural-break extensions by Saikkonen & Lütkepohl (2000) and Lütkepohl, Müller & Saikkonen (2001) | Gregory & Hansen (1996), extending Engle & Granger (1987) |
| 種類≠ | Cointegration test / VECM estimation | Cointegration test with structural break |
| 原典≠ | Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254. DOI ↗ | 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 ↗ |
| 別名 | Johansen cointegration with breaks, break-robust Johansen test, cointegration test with regime shifts, structural change Johansen VECM | Gregory-Hansen cointegration test, cointegration with structural break, EG cointegration with regime shift, residual-based cointegration with break |
| 関連≠ | 5 | 2 |
| 概要≠ | The structural break Johansen cointegration test extends the standard maximum-likelihood Johansen procedure to settings where the multivariate time series exhibits level shifts or trend breaks. By incorporating dummy variables or shift regressors into the VECM, the test determines the cointegrating rank without confounding genuine long-run relationships with regime changes. | 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. |
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