Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Fourier AR mudel× | Struktuurilise katkestusega AR-mudel× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 2012 | 1989-2003 |
| Looja≠ | Enders & Lee | Perron (1989); Bai & Perron (1998, 2003) |
| Tüüp≠ | Time series model with Fourier augmentation | Time-series model with structural change |
| Algallikas≠ | 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. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1-22. DOI ↗ |
| Rööpnimetused | Fourier AR, trigonometric AR model, smooth transition AR with Fourier terms, FAR model | AR model with structural change, breakpoint AR model, piecewise autoregressive model, AR model with regime shifts |
| Seotud | 6 | 6 |
| Kokkuvõte≠ | The Fourier AR model extends the standard autoregressive specification by adding trigonometric (sine and cosine) terms to the deterministic component. This allows the model to capture smooth, gradual shifts in the mean or trend of a time series without requiring the researcher to locate or count structural break points explicitly. | The structural break AR model extends the standard autoregressive framework by allowing the intercept and autoregressive coefficients to shift at one or more unknown break dates. Each regime between consecutive break points is governed by its own AR parameters, capturing abrupt changes in the dynamics of a time series caused by crises, policy shifts, or other shocks. |
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