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| 非线性Toda-Yamamoto因果检验× | 协整检验（Johansen / Engle-Granger）× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1995 (base); nonlinear extensions 2000s–2010s | 1988 |
| 提出者≠ | Toda & Yamamoto (1995) for the linear base; nonlinear extension developed by subsequent researchers applying rank transformations or neural-network-augmented VAR | Engle & Granger (1987); Johansen (1988) |
| 类型≠ | Causality test | Time-series cointegration test |
| 开创性文献≠ | Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. DOI ↗ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ |
| 别名 | nonlinear TY causality, rank-based Toda-Yamamoto test, modified Wald nonlinear causality, NTY causality test | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) |
| 相关 | 5 | 5 |
| 摘要≠ | The Nonlinear Toda-Yamamoto causality test extends the classic Toda-Yamamoto (1995) modified Wald procedure to detect causal linkages that are hidden in the means of series but manifest through nonlinear dynamics such as asymmetries, threshold effects, or volatility transmission. It fits an augmented VAR on rank-transformed or otherwise nonlinearly mapped series and applies a chi-squared Wald test on the extra-lag coefficients. | 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). |
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