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| Modello a Vettore di Correzione d'Errore di Fourier (Fourier VECM)× | Modello a Correzione d'Errore Vettoriale (VECM)× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 2004–2012 | 1987 |
| Ideatore≠ | Enders & Lee (2004/2012); extended to VECM by subsequent authors | Robert F. Engle and Clive W. J. Granger |
| Tipo≠ | Error-correction model with Fourier terms | Multivariate time-series model |
| Fonte seminale≠ | 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. DOI ↗ | 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 VECM, Fourier-approximation VECM, smooth-break VECM, trigonometric VECM | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Correlati | 5 | 5 |
| Sintesi≠ | 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 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. |
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