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Ujian Sempadan ARDL (Ujian Sempadan Pesaran)×Model ARIMA (Autoregresif Bersepadu Purata Bergerak)×Ujian Kausaliti Granger×
BidangEkonometrikEkonometrikEkonometrik
KeluargaRegression modelRegression modelRegression model
Tahun asal200120151969
PengasasPesaran, Shin & SmithBox & Jenkins (Box-Jenkins methodology)Clive W. J. Granger
JenisCointegration test / Autoregressive distributed lag modelUnivariate time-series modelTime-series predictive causality test
Sumber perintisPesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. DOI ↗
AliasPesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test)Box-Jenkins model, ARIMA(p,d,q), ARIMA ModeliGranger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik Testi
Berkaitan455
RingkasanThe ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations.ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).The Granger causality test, introduced by Clive W. J. Granger in 1969, assesses whether the past values of one time series help predict another beyond what the latter's own past already explains. It defines causality in a strictly predictive sense rather than as a structural or physical cause.
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ScholarGateBandingkan kaedah: ARDL Bounds Test · ARIMA · Granger Causality. Dicapai 2026-06-18 daripada https://scholargate.app/ms/compare