手法を比較

	構造的ブレーク NARDL	エンゲル・グレ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	2014–2018	1987
提唱者	Shin, Yu & Greenwood-Nimmo (NARDL base); structural break extensions by subsequent applied researchers	Robert F. Engle and Clive W. J. Granger
種類	Nonlinear cointegration with structural breaks	Cointegration test
原典	Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In W. C. Horrace & R. C. Sickles (Eds.), Festschrift in Honor of Peter Schmidt (pp. 281–314). Springer.	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.
別名	SB-NARDL, NARDL with structural breaks, nonlinear ARDL with break, asymmetric ARDL structural break	EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test
関連	6	5
概要	Structural Break NARDL extends the Nonlinear Autoregressive Distributed Lag (NARDL) bounds-testing framework by explicitly accommodating one or more structural breaks in the long-run relationship. It separates positive and negative changes in the regressor, tests for cointegration, and allows regime shifts, providing a richer picture of asymmetric and break-sensitive dynamics between variables.	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.