Statements (20)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
econometric method |
| gptkbp:appliesTo |
time series data
|
| gptkbp:assumes |
single cointegrating relationship
|
| gptkbp:developedBy |
gptkb:Robert_F._Engle
gptkb:Clive_W._J._Granger |
| gptkbp:field |
statistics
econometrics |
| https://www.w3.org/2000/01/rdf-schema#label |
Engle-Granger test
|
| gptkbp:introducedIn |
1987
|
| gptkbp:limitation |
not suitable for more than two time series
|
| gptkbp:namedAfter |
gptkb:Robert_F._Engle
gptkb:Clive_W._J._Granger |
| gptkbp:numberOfStages |
estimate long-run relationship by OLS
|
| gptkbp:relatedTo |
gptkb:Johansen_test
unit root test |
| gptkbp:step |
test residuals for unit root
|
| gptkbp:usedFor |
testing cointegration
|
| gptkbp:bfsParent |
gptkb:Cointegration_theory
|
| gptkbp:bfsLayer |
6
|