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| Fourier VAR-model× | VAR-model med strukturelle brud× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 2010s | 1980–1998 |
| Ophavsperson≠ | Enders & Lee; extended by Nazlioglu and others to VAR systems | Bai & Perron (structural breaks); Sims (VAR framework) |
| Type≠ | Multivariate time-series model | Multivariate time series model with regime change |
| Oprindelig kilde≠ | 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 ↗ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗ |
| Aliasser | Fourier VAR, smooth structural break VAR, trigonometric VAR, Fourier-augmented VAR | VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR |
| Relaterede | 6 | 6 |
| Resumé≠ | The Fourier VAR model extends the standard Vector Autoregression by replacing fixed deterministic terms with Fourier trigonometric components, allowing the intercept (and optionally the trend) to shift gradually and smoothly over time. This eliminates the need to pre-specify the number, timing, or shape of structural breaks in a multivariate time-series system. | The Structural Break VAR model extends the standard Vector Autoregression (VAR) framework by allowing coefficient matrices and error covariance to shift at one or more unknown break dates. It is designed for multivariate time series where economic relationships change abruptly due to policy shifts, financial crises, or major structural events. |
| ScholarGateDatasæt ↗ |
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