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| 구조적 분해 KPSS 검정× | Engle-Granger 공적분 검정× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 2002-2005 | 1987 |
| 창시자≠ | Kurozumi (2002); Carrion-i-Silvestre, Del Barrio & Lopez-Bazo (2005) | Robert F. Engle and Clive W. J. Granger |
| 유형≠ | Stationarity test with structural breaks | Cointegration test |
| 원전≠ | Carrion-i-Silvestre, J. L., Del Barrio, T., & Lopez-Bazo, E. (2005). Breaking the panels: An application to the GDP per capita. Econometrics Journal, 8(2), 159-175. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| 별칭 | KPSS test with breaks, structural break stationarity test, KPSS break test, SB-KPSS | EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test |
| 관련≠ | 6 | 5 |
| 요약≠ | The structural break KPSS test extends the standard Kwiatkowski-Phillips-Schmidt-Shin (KPSS) stationarity test to allow for one or more known or unknown structural breaks in the level or trend of a time series. Under the null hypothesis the series is stationary around a broken deterministic component, enabling researchers to distinguish genuine unit-root behaviour from apparent non-stationarity caused by regime shifts. | 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. |
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