Compară metode
Examinează metodele selectate una lângă alta; rândurile care diferă sunt evidențiate.
| Testul Augmented Dickey-Fuller (ADF) pentru rădăcină unitară× | Testul de Cointegrare Engle-Granger× | |
|---|---|---|
| Domeniu | Econometrie | Econometrie |
| Familie | Regression model | Regression model |
| Anul apariției≠ | 1979–1984 | 1987 |
| Autorul original≠ | Said & Dickey (1984); building on Dickey & Fuller (1979) | Robert F. Engle and Clive W. J. Granger |
| Tip≠ | Hypothesis test (unit root) | Cointegration test |
| Sursa seminală≠ | Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Denumiri alternative | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test | EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test |
| Înrudite | 5 | 5 |
| Rezumat≠ | The Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance. | 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. |
| ScholarGateSet de date ↗ |
|
|