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| Model de correcció d'errors vectorial Fourier (Fourier VECM)× | Model de Correcció d'Errors Vectorial amb Ruptures Estructurals (SB-VECM)× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 2004–2012 | 1996–2000 |
| Autor original≠ | Enders & Lee (2004/2012); extended to VECM by subsequent authors | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) |
| Tipus≠ | Error-correction model with Fourier terms | Multivariate error correction model with structural breaks |
| Font seminal≠ | Enders, W., & Lee, J. (2012). A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574–599. DOI ↗ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ |
| Àlies | Fourier VECM, Fourier-approximation VECM, smooth-break VECM, trigonometric VECM | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM |
| Relacionats | 5 | 5 |
| Resum≠ | The Fourier VECM augments the classical vector error correction model with low-frequency trigonometric terms — sine and cosine components — to capture smooth, gradual structural change in cointegrating relationships without specifying the number or timing of breaks in advance. It is used for multivariate cointegrated systems where long-run equilibria may shift gradually over time. | The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. |
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