Comparer des méthodes

	Modèle à Correction d'Erreur Vectoriel de Fourier (Fourier VECM)	Modèle Vector Error Correction avec Ruptures Structurelles (SB-VECM)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2004–2012	1996–2000
Auteur d'origine	Enders & Lee (2004/2012); extended to VECM by subsequent authors	Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000)
Type	Error-correction model with Fourier terms	Multivariate error correction model with structural breaks
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.	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126.
Alias	Fourier VECM, Fourier-approximation VECM, smooth-break VECM, trigonometric VECM	SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM
Apparentées	5	5
Résumé	The Fourier VECM augments the classical vector error correction model with low-frequency trigonometric terms — sine and cosine components — to capture smooth, gradual structural change in cointegrating relationships without specifying the number or timing of breaks in advance. It is used for multivariate cointegrated systems where long-run equilibria may shift gradually over time.	The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes.