Compară metode

	Testul Johansen de cointegrare cu rupere structurală	Testul de Cointegrare Engle-Granger cu Ruptură Structurală
Domeniu	Econometrie	Econometrie
Familie	Regression model	Regression model
Anul apariției	2000–2001	1996
Autorul original	Johansen (1988); structural-break extensions by Saikkonen & Lütkepohl (2000) and Lütkepohl, Müller & Saikkonen (2001)	Gregory & Hansen (1996), extending Engle & Granger (1987)
Tip	Cointegration test / VECM estimation	Cointegration test with structural break
Sursa seminală	Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254.	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99-126.
Denumiri alternative	Johansen cointegration with breaks, break-robust Johansen test, cointegration test with regime shifts, structural change Johansen VECM	Gregory-Hansen cointegration test, cointegration with structural break, EG cointegration with regime shift, residual-based cointegration with break
Înrudite	5	2
Rezumat	The structural break Johansen cointegration test extends the standard maximum-likelihood Johansen procedure to settings where the multivariate time series exhibits level shifts or trend breaks. By incorporating dummy variables or shift regressors into the VECM, the test determines the cointegrating rank without confounding genuine long-run relationships with regime changes.	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.