So sánh phương pháp

	Kiểm định Đồng tích hợp Engle-Granger có Đứt gãy Cấu trúc	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	1996	1991
Người khởi xướng	Gregory & Hansen (1996), extending Engle & Granger (1987)	Søren Johansen
Loại	Cointegration test with structural break	Multivariate cointegration / vector error correction model
Công trình gốc	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99-126.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
Tên gọi khác	Gregory-Hansen cointegration test, cointegration with structural break, EG cointegration with regime shift, residual-based cointegration with break	Johansen test, VECM, vector error correction model, multivariate cointegration
Liên quan	2	3
Tóm tắt	The structural break Engle-Granger cointegration test, most commonly implemented via the Gregory-Hansen (1996) procedure, extends the classical Engle-Granger two-step test to allow for a single unknown structural break in the long-run cointegrating relationship. It tests whether two or more integrated series share a common stochastic trend even when that relationship may have shifted at some point in the sample.	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.