Todos os livros

Profissional

Apps Sobre Coach Entrar Começar a ler

Quantitative Finance · Glossário

O que é Engle–Granger test?

Também chamado de: Engle--Granger test

Definition 20.7 Quantitative Methods · Capítulo 20 — Multivariate Series and Cointegration

The Engle–Granger test regresses one variable on the others in levels and applies a Dickey–Fuller test to the residuals, with critical values that account for the estimated coefficients.

Null distributions of the Dickey–Fuller statistic for one random walk and for the least-squares residual of one random walk regressed on two others, from 4 000 simulated samples of 1 000 days; the dashed lines are their 5% points, -2.92 and -3.75. Data: the chapter’s tutorial, seeded.
Figure 20.2. Null distributions of the Dickey–Fuller statistic for one random walk and for the least-squares residual of one random walk regressed on two others, from 4 000 simulated samples of 1 000 days; the dashed lines are their 5% points, −2.92-2.92 and −3.75-3.75. Data: the chapter’s tutorial, seeded.
Ler no capítulo →

Termos relacionados