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| Kiểm định đồng tích hợp (Johansen / Engle-Granger)× | Kiểm định tính dừng KPSS× | |
|---|---|---|
| Lĩnh vực | Kinh tế lượng | Kinh tế lượng |
| Họ | Regression model | Regression model |
| Năm ra đời≠ | 1988 | 1992 |
| Người khởi xướng≠ | Engle & Granger (1987); Johansen (1988) | Kwiatkowski, Phillips, Schmidt & Shin |
| Loại≠ | Time-series cointegration test | Stationarity test (reverse of unit-root tests) |
| Công trình gốc≠ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ | Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1–3), 159–178. DOI ↗ |
| Tên gọi khác≠ | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi |
| Liên quan≠ | 5 | 4 |
| Tóm tắt≠ | 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). | The KPSS test, introduced by Kwiatkowski, Phillips, Schmidt and Shin in 1992, tests the null hypothesis that a series is stationary against the alternative that it contains a unit root — the reverse of the ADF and Phillips-Perron tests. By flipping the burden of proof, it is designed to be used alongside unit-root tests so that the two can confirm one another and expose ambiguous, borderline cases. |
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