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| Fourier Engle-Granger コインテグレーション検定× | ベクトル誤差修正モデル（VECM）× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 2016 | 1987 |
| 提唱者≠ | Enders & Jones (2016), extending Engle & Granger (1987) | Robert F. Engle and Clive W. J. Granger |
| 種類≠ | Cointegration test | Multivariate time-series model |
| 原典≠ | Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics and Econometrics, 20(4), 399–419. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| 別名 | Fourier EG cointegration, Enders-Jones cointegration test, smooth structural break cointegration, FEGC test | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| 関連 | 5 | 5 |
| 概要≠ | The Fourier Engle-Granger cointegration test extends the classic two-step Engle-Granger procedure by embedding low-frequency trigonometric (Fourier) terms in the cointegrating regression. This accommodates an unknown number of smooth structural breaks in the deterministic components without specifying their dates, producing a more powerful test when long-run relationships 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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