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| 푸리에 벡터 오차 수정 모형 (Fourier VECM)× | 구조적 단절을 포함하는 벡터 오차 수정 모형 (SB-VECM)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 2004–2012 | 1996–2000 |
| 창시자≠ | Enders & Lee (2004/2012); extended to VECM by subsequent authors | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) |
| 유형≠ | Error-correction model with Fourier terms | Multivariate error correction model with structural breaks |
| 원전≠ | 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 ↗ | 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 ↗ |
| 별칭 | Fourier VECM, Fourier-approximation VECM, smooth-break VECM, trigonometric VECM | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM |
| 관련 | 5 | 5 |
| 요약≠ | 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. |
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