Salīdzināt metodes
Apskatiet izvēlētās metodes blakus; rindas, kas atšķiras, ir izceltas.
| Fjēra VAR modelis× | Fjūrjēra Grangera cēloniskuma tests× | |
|---|---|---|
| Nozare | Ekonometrija | Ekonometrija |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 2010s | 2016 |
| Autors≠ | Enders & Lee; extended by Nazlioglu and others to VAR systems | Enders and Jones |
| Tips≠ | Multivariate time-series model | Causality test |
| Pirmavots≠ | 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 ↗ | 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 ↗ |
| Citi nosaukumi | Fourier VAR, smooth structural break VAR, trigonometric VAR, Fourier-augmented VAR | Fourier Granger causality test, Enders-Jones Granger causality, smooth structural break Granger test, spectral Granger causality |
| Saistītās | 6 | 6 |
| Kopsavilkums≠ | The Fourier VAR model extends the standard Vector Autoregression by replacing fixed deterministic terms with Fourier trigonometric components, allowing the intercept (and optionally the trend) to shift gradually and smoothly over time. This eliminates the need to pre-specify the number, timing, or shape of structural breaks in a multivariate time-series system. | The Fourier Granger causality test extends the classic Granger causality framework by embedding low-frequency Fourier terms in the VAR equation, allowing the causal relationship to shift gradually over time without requiring the researcher to pre-specify the number or location of structural breaks. |
| ScholarGateDatu kopa ↗ |
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