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| Robust ARDL-gränstest för kointegration× | ARDL Bounds Test (Pesaran Bounds Test)× | Johansen-test för kointegration och vektorsfelkorrigeringsmodell× | |
|---|---|---|---|
| Ämnesområde≠ | Ekonometri | Ekonometri | Finansiell ekonomi |
| Familj | Regression model | Regression model | Regression model |
| Ursprungsår≠ | 2019 | 2001 | 1991 |
| Upphovsperson≠ | Sam, McNown & Goh | Pesaran, Shin & Smith | Søren Johansen |
| Typ≠ | Cointegration test | Cointegration test / Autoregressive distributed lag model | Multivariate cointegration / vector error correction model |
| Ursprungskälla≠ | Sam, C. Y., McNown, R., & Goh, S. K. (2019). An augmented autoregressive distributed lag bounds test for cointegration. Economic Modelling, 80, 130-141. DOI ↗ | 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. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Alias≠ | Robust ARDL, Robust bounds testing approach, Sam-McNown-Goh bounds test, Bootstrap ARDL bounds test | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Närliggande≠ | 3 | 4 | 3 |
| Sammanfattning≠ | The Robust ARDL bounds test is an augmented version of the Pesaran-Shin-Smith (2001) ARDL bounds testing approach that resolves its two key weaknesses: size distortion under mixed integration orders and the degenerate-case problem. It introduces three separate test statistics — an overall F-test and two new Wald statistics for the dependent and independent variables — evaluated against bootstrap-generated critical values. | 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. | The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium. |
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