Bandingkan kaedah
Semak kaedah pilihan anda secara bersebelahan; baris yang berbeza akan diserlahkan.
| Ujian Kointegrasi (Johansen / Engle-Granger)× | Model ARIMA (Autoregresif Bersepadu Purata Bergerak)× | |
|---|---|---|
| Bidang | Ekonometrik | Ekonometrik |
| Keluarga | Regression model | Regression model |
| Tahun asal≠ | 1988 | 2015 |
| Pengasas≠ | Engle & Granger (1987); Johansen (1988) | Box & Jenkins (Box-Jenkins methodology) |
| Jenis≠ | Time-series cointegration test | Univariate time-series model |
| Sumber perintis≠ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. 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: 978-1118675021 |
| Alias≠ | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli |
| Berkaitan | 5 | 5 |
| Ringkasan≠ | 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). | 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). |
| ScholarGateSet data ↗ |
|
|