Salīdzināt metodes
Apskatiet izvēlētās metodes blakus; rindas, kas atšķiras, ir izceltas.
| Furjē Engla-Grāndžera kointegrācijas tests× | Robusta ARDL robežu pārbaude (Fourier)× | |
|---|---|---|
| Nozare | Ekonometrija | Ekonometrija |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 2016 | 2001-2021 |
| Autors≠ | Enders & Jones (2016), extending Engle & Granger (1987) | Pesaran, Shin & Smith (ARDL foundation); Fourier extension by Nazlioglu and related authors |
| Tips≠ | Cointegration test | Cointegration / bounds test |
| Pirmavots≠ | 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 ↗ | 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 ↗ |
| Citi nosaukumi | Fourier EG cointegration, Enders-Jones cointegration test, smooth structural break cointegration, FEGC test | Fourier ARDL, Fourier bounds testing, ARDL with Fourier approximation, F-ARDL cointegration test |
| Saistītās | 5 | 5 |
| Kopsavilkums≠ | 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 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. |
| ScholarGateDatu kopa ↗ |
|
|