englegranger

由 RF Engle 著作 · 1987 · 被引用 49694 次 — The paper presents a representation theorem based on Granger (1983), which connects the moving average, autoregressive, and error correction representations ...

2.1 Engle–Granger two-step method · 2.2 Johansen test · 2.3 Phillips–Ouliaris cointegration test · 2.4 Multicointegration · 2.5 Variable shifts in long time series ...

The Engle-Granger Two-Step method starts by creating residuals based on the static regression and then testing the residuals for the presence of unit-roots. It ...

Engle and Granger (1987, Econometrica) recommend a two-step procedure for cointegration analysis. (i) Estimate the long-run (equilibrium) equation: 0. 1 t t.

由 ARI Yakup 著作 · 被引用 3 次 — The results of Engle-Granger cointegration and Granger causality show that there is mutual volatility spillover between the gold and silver returns. To ...

Conduct the Engel-Granger cointegration test by passing the timetable to egcitest and using default options. For the cointegrating regression, egcitest uses the ...

所以Engle-Granger 兩步驟的共整合檢定法對殘差進行是否存. 在單根的檢定方式，和以誤差修正模型估計，並檢定誤差修正項是否. 顯著異於零方式是相同的，但是在統計性質上用 ...