Fourier Engle-Granger Kointegrationstest
Fourier Engle-Granger kointegrationstesten udvider den klassiske to-trins Engle-Granger procedure ved at indlejre lavfrekvente trigonometriske (Fourier) termer i den kointegrerende regression. Dette imødekommer et ukendt antal glatte strukturelle brud i de deterministiske komponenter uden at specificere deres datoer, hvilket producerer en mere kraftfuld test, når langsigtede relationer gradvist skifter over tid.
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Kilder
- Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics and Econometrics, 20(4), 399–419. DOI: 10.1515/snde-2014-0101 ↗
- Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI: 10.2307/1913236 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 3). Fourier Engle-Granger Cointegration Test. ScholarGate. https://scholargate.app/da/econometrics/fourier-engle-granger-cointegration
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Engle-Granger KointegrationstestØkonometri↔ compare
- Fourier ADF Unit Root TestØkonometri↔ compare
- Fourier ARDL Bounds TestØkonometri↔ compare
- Fourier VECM (Fourier VECM)Økonometri↔ compare
- Vektorfejlkorrektionsmodel (VECM)Økonometri↔ compare
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