So sánh phương pháp

	Kiểm định Đồng Tích Engle-Granger Mạnh mẽ	OLS mạnh mẽ (OLS với sai số chuẩn mạnh mẽ)
Lĩnh vực	Kinh tế lượng	Kinh tế lượng
Họ	Regression model	Regression model
Năm ra đời	1987 (base); robust variants 2000s–2020s	1980
Người khởi xướng	Engle & Granger (1987); robust extensions by subsequent authors including Hao & Shaffer and others	Halbert White
Loại	Cointegration test	Linear regression with robust inference
Công trình gốc	Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.	White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817–838.
Tên gọi khác	robust EG cointegration, outlier-robust cointegration test, robust two-step cointegration, robust EG test	HC robust regression, White robust OLS, sandwich estimator OLS, OLS with robust standard errors
Liên quan	5	6
Tóm tắt	The Robust Engle-Granger cointegration test adapts the classic two-step Engle-Granger procedure to withstand outliers, heavy-tailed error distributions, and additive noise that can severely distort standard residual-based cointegration inference. By substituting robust regression and robust unit-root testing for classical OLS and ADF steps, it yields reliable conclusions about long-run equilibrium relationships even when the data contain anomalous observations.	Robust OLS applies ordinary least squares to estimate coefficients and then replaces the classical standard errors with heteroscedasticity-consistent (HC) standard errors — commonly called White standard errors. This leaves the point estimates unchanged while yielding valid t-statistics and confidence intervals even when the error variance is not constant across observations.