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| Gregoryho-Hansenov test kointegrácie s posunom režimu× | Test kointegrácie (Johansen / Engle-Granger)× | |
|---|---|---|
| Odbor | Ekonometria | Ekonometria |
| Rodina≠ | Hypothesis test | Regression model |
| Rok vzniku≠ | 1996 | 1988 |
| Tvorca≠ | Allan Gregory & Bruce Hansen | Engle & Granger (1987); Johansen (1988) |
| Typ≠ | Residual-based structural break cointegration test | Time-series cointegration test |
| Pôvodný zdroj≠ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ |
| Ďalšie názvy | GH Cointegration Test, Gregory-Hansen Regime Shift Test, Residual-Based Cointegration Test with Structural Break, Rejim Değişimli Koentegrasyon Testi | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) |
| Príbuzné≠ | 3 | 5 |
| Zhrnutie≠ | The Gregory-Hansen test, introduced by Allan Gregory and Bruce Hansen in 1996, extends the standard Engle-Granger cointegration framework to allow for a single unknown structural break in the cointegrating relationship. It is designed for researchers who suspect that the long-run equilibrium between integrated variables may have shifted at some point during the sample period, and who wish to test for cointegration without presupposing the break date. | 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). |
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