Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Розширений тест Дікі-Фуллера (ADF) на одиничний корінь× | Тест на коінтеграцію (Йогансен / Енгл-Грейнджер)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1979 | 1988 |
| Автор методу≠ | David A. Dickey & Wayne A. Fuller | Engle & Granger (1987); Johansen (1988) |
| Тип≠ | Unit-root test for stationarity | Time-series cointegration test |
| Основоположне джерело≠ | Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. DOI ↗ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ |
| Інші назви | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) |
| Пов'язані≠ | 4 | 5 |
| Підсумок≠ | The Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling. Introduced by David Dickey and Wayne Fuller in 1979 and extended by Said and Dickey in 1984 to series with higher-order autocorrelation, it regresses the change in the series on its lagged level plus lagged differences and asks whether the lagged-level coefficient is zero. | 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). |
| ScholarGateНабір даних ↗ |
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