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| Robustny test kointegracji Johansena× | Test kointegracji Engle'a-Grangera× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1988–2010 | 1987 |
| Twórca≠ | Johansen (1988, 1991); robust extensions by Cavaliere, Rahbek, Taylor (2010) and others | Robert F. Engle and Clive W. J. Granger |
| Typ≠ | Cointegration rank test (robust variant) | Cointegration test |
| Źródło pierwotne≠ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551–1580. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Inne nazwy | outlier-robust Johansen test, robust trace test, robust maximum eigenvalue test, robust cointegration rank test | EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test |
| Pokrewne | 5 | 5 |
| Podsumowanie≠ | The Robust Johansen Cointegration test extends the classical Johansen (1988, 1991) likelihood-ratio framework for determining the cointegrating rank of a multivariate I(1) system to settings where standard Gaussian assumptions fail — in particular when the data exhibit outliers, fat-tailed innovations, or conditional heteroskedasticity. Robust modifications adjust residuals, re-weight observations, or bootstrap critical values so that rank inference remains valid under these violations. | 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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