Comparar métodos

	Teste de Cointegração de Engle-Granger com Ruptura Estrutural	Teste de Limites ARDL (Teste de Limites de Pesaran)
Área	Econometria	Econometria
Família	Regression model	Regression model
Ano de origem	1996	2001
Autor original	Gregory & Hansen (1996), extending Engle & Granger (1987)	Pesaran, Shin & Smith
Tipo	Cointegration test with structural break	Cointegration test / Autoregressive distributed lag model
Fonte seminal	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99-126.	Pesaran, 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.
Outros nomes	Gregory-Hansen cointegration test, cointegration with structural break, EG cointegration with regime shift, residual-based cointegration with break	Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test)
Relacionados	2	4
Resumo	The structural break Engle-Granger cointegration test, most commonly implemented via the Gregory-Hansen (1996) procedure, extends the classical Engle-Granger two-step test to allow for a single unknown structural break in the long-run cointegrating relationship. It tests whether two or more integrated series share a common stochastic trend even when that relationship may have shifted at some point in the sample.	The 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.