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| 稳健Engle-Granger协整检验× | 傅里叶恩格尔-格兰杰协整检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1987 (base); robust variants 2000s–2020s | 2016 |
| 提出者≠ | Engle & Granger (1987); robust extensions by subsequent authors including Hao & Shaffer and others | Enders & Jones (2016), extending Engle & Granger (1987) |
| 类型 | Cointegration test | Cointegration test |
| 开创性文献≠ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ | Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics and Econometrics, 20(4), 399–419. DOI ↗ |
| 别名 | robust EG cointegration, outlier-robust cointegration test, robust two-step cointegration, robust EG test | Fourier EG cointegration, Enders-Jones cointegration test, smooth structural break cointegration, FEGC test |
| 相关 | 5 | 5 |
| 摘要≠ | 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. | The Fourier Engle-Granger cointegration test extends the classic two-step Engle-Granger procedure by embedding low-frequency trigonometric (Fourier) terms in the cointegrating regression. This accommodates an unknown number of smooth structural breaks in the deterministic components without specifying their dates, producing a more powerful test when long-run relationships shift gradually over time. |
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