Regression model
协整检验（Johansen / Engle-Granger）
协整检验旨在检验每个包含单位根的非平稳时间序列是否共享一个稳定的长期均衡关系。Engle和Granger（1987）引入了单方程残差方法，Johansen（1988）引入了基于系统的秩方法。
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来源
- Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI: 10.1016/0165-1889(88)90041-3 ↗
- Engle, R. F. & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276. DOI: 10.2307/1913236 ↗
如何引用本页
ScholarGate. (2026, June 1). Cointegration Test (Johansen / Engle-Granger). ScholarGate. https://scholargate.app/zh/econometrics/cointegration-test
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