Regression modelEconometrics / time series
Engle-Granger Cointegration Test
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.
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Sources
- 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 ↗
- Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press. ISBN: 978-0691042893
Related methods
Referenced by
Augmented Dickey-Fuller unit root testBayesian ARDL Bounds TestFourier Engle-Granger cointegrationFourier Johansen cointegrationNonlinear ARDLPanel Engle-Granger CointegrationRobust Engle-Granger CointegrationRobust Johansen CointegrationStructural Break ARDL Bounds TestStructural Break KPSS TestStructural Break NARDLStructural break Zivot-Andrews testVector Error Correction ModelZivot-Andrews Structural Break Test