Statements (18)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:alternativeTo |
gptkb:Johansen_test
|
| gptkbp:appliesTo |
time series analysis
|
| gptkbp:assumes |
single cointegrating relationship
|
| gptkbp:citation |
Engle, R.F. and Granger, C.W.J. (1987). 'Co-integration and Error Correction: Representation, Estimation, and Testing.' Econometrica.
|
| gptkbp:developedBy |
gptkb:Robert_F._Engle
gptkb:Clive_W._J._Granger |
| gptkbp:field |
econometrics
|
| https://www.w3.org/2000/01/rdf-schema#label |
Engle-Granger method
|
| gptkbp:introducedIn |
1987
|
| gptkbp:limitation |
not suitable for multiple cointegrating vectors
|
| gptkbp:numberOfStages |
test for unit roots in individual series
|
| gptkbp:relatedTo |
error correction model
|
| gptkbp:step |
estimate long-run relationship
test residuals for stationarity |
| gptkbp:usedFor |
cointegration testing
|
| gptkbp:bfsParent |
gptkb:DOLS
|
| gptkbp:bfsLayer |
7
|