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| Furjē Engla-Grāndžera kointegrācijas tests× | Engle-Granger kointegrācijas tests× | |
|---|---|---|
| Nozare | Ekonometrija | Ekonometrija |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 2016 | 1987 |
| Autors≠ | Enders & Jones (2016), extending Engle & Granger (1987) | Robert F. Engle and Clive W. J. Granger |
| Tips | Cointegration test | Cointegration test |
| Pirmavots≠ | Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics and Econometrics, 20(4), 399–419. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Citi nosaukumi | Fourier EG cointegration, Enders-Jones cointegration test, smooth structural break cointegration, FEGC test | EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test |
| Saistītās | 5 | 5 |
| Kopsavilkums≠ | The Fourier Engle-Granger cointegration test extends the classic two-step Engle-Granger procedure by embedding low-frequency trigonometric (Fourier) terms in the cointegrating regression. This accommodates an unknown number of smooth structural breaks in the deterministic components without specifying their dates, producing a more powerful test when long-run relationships shift gradually over time. | 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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