Võrdle meetodeid

	Fourier Granger'i põhjuslikkuse test	Vektorautoregressioon (VAR)
Valdkond	Ökonomeetria	Ökonomeetria
Perekond	Regression model	Regression model
Tekkeaasta	2016	1980
Looja	Enders and Jones	Christopher A. Sims
Tüüp	Causality test	Multivariate time-series model
Algallikas	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.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
Rööpnimetused	Fourier Granger causality test, Enders-Jones Granger causality, smooth structural break Granger test, spectral Granger causality	VAR, VAR model, vector autoregressive model, multivariate autoregression
Seotud	6	5
Kokkuvõte	The Fourier Granger causality test extends the classic Granger causality framework by embedding low-frequency Fourier terms in the VAR equation, allowing the causal relationship to shift gradually over time without requiring the researcher to pre-specify the number or location of structural breaks.	Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance.