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Kipimo cha Muungano wa Engle-Granger chenye Mkengeuko wa Kiunzi

Kipimo cha muungano wa Engle-Granger chenye mkengeuko wa kiunzi, ambacho mara nyingi hutekelezwa kupitia utaratibu wa Gregory-Hansen (1996), huongeza kipimo cha kawaida cha hatua mbili cha Engle-Granger ili kuruhusu mkengeuko mmoja usiojulikana katika uhusiano wa muda mrefu wa kuunganisha. Kinapima kama milia miwili au zaidi iliyounganishwa hushiriki mwelekeo mmoja wa stochastic hata pale uhusiano huo unaweza kuwa umebadilika wakati fulani katika sampuli.

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Vyanzo

  1. Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99-126. link
  2. Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251-276. DOI: 10.2307/1913236

Jinsi ya kunukuu ukurasa huu

ScholarGate. (2026, June 3). Structural Break Engle-Granger Cointegration Test. ScholarGate. https://scholargate.app/sw/econometrics/structural-break-engle-granger-cointegration

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ScholarGateStructural break Engle-Granger cointegration (Structural Break Engle-Granger Cointegration Test). Imepatikana 2026-06-15 kutoka https://scholargate.app/sw/econometrics/structural-break-engle-granger-cointegration · Seti ya data: https://doi.org/10.5281/zenodo.20539026