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| 構造的ブレークARDL境界テスト× | 構造変化を伴うベクトル誤差修正モデル（SB-VECM）× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 2001–2010s | 1996–2000 |
| 提唱者≠ | Pesaran, Shin & Smith (bounds framework); structural break extensions by Bahmani-Oskooee, Enders & Jones, and others | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) |
| 種類≠ | Cointegration / bounds test | Multivariate error correction model with structural breaks |
| 原典≠ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ |
| 別名 | SB-ARDL bounds test, ARDL bounds test with structural break, Fourier ARDL bounds test, break-augmented bounds testing | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM |
| 関連≠ | 6 | 5 |
| 概要≠ | The structural break ARDL bounds test extends the Pesaran, Shin and Smith (2001) bounds testing framework to accommodate one or more structural breaks in the long-run relationship between time-series variables. By incorporating break dummies or smooth Fourier terms into the ARDL error-correction equation, it allows researchers to test for cointegration even when the data have experienced shifts in intercept or slope caused by policy changes, crises, or regime switches. | 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. |
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