Metodebevisregistrering
Fourier VECM
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.
Kilderegistrering
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Fourier Vector Error Correction Model
Taksonomisk metoderegistrering · regression-model / econometrics
- 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 10.1111/j.1468-0084.2011.00662.x
- Becker, R., Enders, W., & Lee, J. (2006). A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 27(3), 381–409. · DOI 10.1111/j.1467-9892.2006.00478.x
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