Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Fourier mittelineaarne ARDL (Fourier NARDL)× | Fourier Engle-Granger'i kaasintegreeruvuse test× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 2014–2020s | 2016 |
| Looja≠ | Extension of Shin, Yu & Greenwood-Nimmo (2014) NARDL, incorporating Fourier terms from Becker, Enders & Lee (2006) | Enders & Jones (2016), extending Engle & Granger (1987) |
| Tüüp≠ | Nonlinear cointegrating model with smooth break approximation | Cointegration test |
| Algallikas≠ | Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. C. Sickles & W. C. Horrace (Eds.), Festschrift in Honor of Peter Schmidt (pp. 281–314). Springer. link ↗ | 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 ↗ |
| Rööpnimetused | Fourier NARDL, Fourier nonlinear ARDL, F-NARDL, Fourier asymmetric ARDL | Fourier EG cointegration, Enders-Jones cointegration test, smooth structural break cointegration, FEGC test |
| Seotud≠ | 6 | 5 |
| Kokkuvõte≠ | Fourier NARDL extends the Nonlinear ARDL (NARDL) bounds-testing framework by adding Fourier trigonometric terms to the error-correction equation, allowing the model to capture smooth, gradual structural breaks in the long-run relationship without requiring the researcher to know or specify the break date in advance. | The Fourier Engle-Granger cointegration test extends the classic two-step Engle-Granger procedure by embedding low-frequency trigonometric (Fourier) terms in the cointegrating regression. This accommodates an unknown number of smooth structural breaks in the deterministic components without specifying their dates, producing a more powerful test when long-run relationships shift gradually over time. |
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