Comparer des méthodes

	Modèle VAR de Fourier	Modèle VAR à ruptures structurelles
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2010s	1980–1998
Auteur d'origine	Enders & Lee; extended by Nazlioglu and others to VAR systems	Bai & Perron (structural breaks); Sims (VAR framework)
Type	Multivariate time-series model	Multivariate time series model with regime change
Source fondatrice	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.	Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78.
Alias	Fourier VAR, smooth structural break VAR, trigonometric VAR, Fourier-augmented VAR	VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR
Apparentées	6	6
Résumé	The Fourier VAR model extends the standard Vector Autoregression by replacing fixed deterministic terms with Fourier trigonometric components, allowing the intercept (and optionally the trend) to shift gradually and smoothly over time. This eliminates the need to pre-specify the number, timing, or shape of structural breaks in a multivariate time-series system.	The Structural Break VAR model extends the standard Vector Autoregression (VAR) framework by allowing coefficient matrices and error covariance to shift at one or more unknown break dates. It is designed for multivariate time series where economic relationships change abruptly due to policy shifts, financial crises, or major structural events.