Fourier Granger-kausalitetstest
Fourier Granger-kausalitetstesten udvider det klassiske Granger-kausalitetsrammeværk ved at indlejre lavfrekvente Fourier-led i VAR-ligningen, hvilket tillader det kausale forhold at ændre sig gradvist over tid uden at kræve, at forskeren forudspecificerer antallet eller placeringen af strukturelle brud.
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Method map
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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 ↗
- Nazlioglu, S., Gormus, N. A., & Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168–175. DOI: 10.1016/j.eneco.2016.09.009 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 3). Fourier Approximation Granger Causality Test. ScholarGate. https://scholargate.app/da/econometrics/fourier-granger-causality
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.
- Fourier ADF Unit Root TestØkonometri↔ compare
- Fourier ARDL Bounds TestØkonometri↔ compare
- Granger-kausalitetstestØkonometri↔ compare
- Strukturel Brud Granger KausalitetØkonometri↔ compare
- Toda-Yamamoto KausalitetstestØkonometri↔ compare
- Vektorautoregression (VAR)Økonometri↔ compare
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