Usporedite metode
Pregledajte odabrane metode jednu uz drugu; retci koji se razlikuju su istaknuti.
| Fourier ARDL test granica× | Vektorski model korekcije pogreške (VECM)× | |
|---|---|---|
| Područje | Ekonometrija | Ekonometrija |
| Obitelj | Regression model | Regression model |
| Godina nastanka≠ | 2001-2021 | 1987 |
| Tvorac≠ | Pesaran, Shin & Smith (ARDL foundation); Fourier extension by Nazlioglu and related authors | Robert F. Engle and Clive W. J. Granger |
| Vrsta≠ | Cointegration / bounds test | Multivariate time-series model |
| Temeljni izvor≠ | Nazlioglu, S., Gormus, A., & Soytas, U. (2021). Oil prices and monetary policy in emerging markets: structural breaks, asymmetries, and Fourier approximations. Energy Economics, 95, 105119. link ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Drugi nazivi | Fourier ARDL, Fourier bounds testing, ARDL with Fourier approximation, F-ARDL cointegration test | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Srodne | 5 | 5 |
| Sažetak≠ | The Fourier ARDL bounds test augments the Pesaran-Shin-Smith cointegration framework with trigonometric (Fourier) terms that capture gradual, smooth structural breaks in the data-generating process. It tests for a long-run level relationship between variables without requiring the researcher to specify the number, timing, or form of structural breaks 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. |
| ScholarGateSkup podataka ↗ |
|
|