So sánh phương pháp

	Đồng kết hợp phi tuyến Engle-Granger	Kiểm định Đồng tích hợp Johansen và Mô hình Hiệu chỉnh Sai số Vector
Lĩnh vực	Kinh tế lượng	Tài chính
Họ	Regression model	Regression model
Năm ra đời	1998-2006	1991
Người khởi xướng	Kapetanios, Shin & Snell; Enders & Granger	Søren Johansen
Loại	Cointegration test	Multivariate cointegration / vector error correction model
Công trình gốc	Kapetanios, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279-303.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
Tên gọi khác	nonlinear cointegration, threshold cointegration, KSS cointegration, ESTAR cointegration	Johansen test, VECM, vector error correction model, multivariate cointegration
Liên quan	3	3
Tóm tắt	Nonlinear Engle-Granger cointegration extends the classical two-step Engle-Granger procedure to detect long-run equilibria where adjustment toward the equilibrium is nonlinear — for example, faster above than below a threshold, or governed by a smooth transition mechanism. It is widely applied in financial economics, purchasing power parity tests, and commodity price analysis.	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.