Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Fourier Nonlinear ARDL (Fourier NARDL)× | Modèle à Correction d'Erreur Vectorielle (VECM)× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2014–2020s | 1987 |
| Auteur d'origine≠ | Extension of Shin, Yu & Greenwood-Nimmo (2014) NARDL, incorporating Fourier terms from Becker, Enders & Lee (2006) | Robert F. Engle and Clive W. J. Granger |
| Type≠ | Nonlinear cointegrating model with smooth break approximation | Multivariate time-series model |
| Source fondatrice≠ | 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 ↗ | 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 NARDL, Fourier nonlinear ARDL, F-NARDL, Fourier asymmetric ARDL | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Apparentées≠ | 6 | 5 |
| Résumé≠ | 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 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. |
| ScholarGateJeu de données ↗ |
|
|