방법 비교
선택한 방법을 나란히 검토하세요. 서로 다른 행은 강조 표시됩니다.
| Hatemi-J 공적분 검정 (두 구조적 변화 허용)× | 공적분 검정 (요한센 / 엥글-그레인저)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열≠ | Hypothesis test | Regression model |
| 기원 연도≠ | 2008 | 1988 |
| 창시자≠ | Abdulnasser Hatemi-J | Engle & Granger (1987); Johansen (1988) |
| 유형≠ | Residual-based cointegration test with two structural breaks | Time-series cointegration test |
| 원전≠ | Hatemi-J, A. (2008). Tests for cointegration with two unknown regime shifts with an application to financial market integration. Empirical Economics, 35(3), 497–505. DOI ↗ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ |
| 별칭 | Hatemi-J Test, Two-Break Cointegration Test, Cointegration Test with Two Regime Shifts, Hatemi-J İki Kırılmalı Eşbütünleşme Testi | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) |
| 관련≠ | 3 | 5 |
| 요약≠ | The Hatemi-J cointegration test, introduced by Abdulnasser Hatemi-J in 2008, tests for a long-run equilibrium relationship between integrated time series while allowing for up to two unknown structural breaks in the cointegrating vector. It extends earlier single-break approaches by permitting both the intercept and slope coefficients of the cointegrating regression to shift at two endogenously determined breakpoints, making it particularly suited for economic and financial data spanning periods of major institutional or policy change. | The cointegration test examines whether non-stationary time series that each contain a unit root share a stable long-run equilibrium relationship. The single-equation residual approach was introduced by Engle and Granger (1987) and the system-based rank approach by Johansen (1988). |
| ScholarGate데이터셋 ↗ |
|
|