Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Modelo de Corrección de Errores Vectorial de Fourier (Fourier VECM)× | Modelo de Corrección de Errores Vectorial (VECM)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 2004–2012 | 1987 |
| Autor original≠ | Enders & Lee (2004/2012); extended to VECM by subsequent authors | Robert F. Engle and Clive W. J. Granger |
| Tipo≠ | Error-correction model with Fourier terms | Multivariate time-series model |
| Fuente 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 ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Alias | Fourier VECM, Fourier-approximation VECM, smooth-break VECM, trigonometric VECM | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Relacionados | 5 | 5 |
| Resumen≠ | 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 Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series. |
| ScholarGateConjunto de datos ↗ |
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