Vertaile menetelmiä
Tarkastele valitsemiasi menetelmiä rinnakkain; eroavat rivit korostetaan.
| Fourier Engle-Granger -yhteistestaus× | Vektorikorjausmalli (VECM)× | |
|---|---|---|
| Tieteenala | Ekonometria | Ekonometria |
| Menetelmäperhe | Regression model | Regression model |
| Syntyvuosi≠ | 2016 | 1987 |
| Kehittäjä≠ | Enders & Jones (2016), extending Engle & Granger (1987) | Robert F. Engle and Clive W. J. Granger |
| Tyyppi≠ | Cointegration test | Multivariate time-series model |
| Alkuperäislähde≠ | 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 ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Rinnakkaisnimet | Fourier EG cointegration, Enders-Jones cointegration test, smooth structural break cointegration, FEGC test | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Liittyvät | 5 | 5 |
| Tiivistelmä≠ | 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. | 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. |
| ScholarGateAineisto ↗ |
|
|