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| Fourier SVAR Model× | Model Autoregresji Wektorowej z Fouriera× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania | 2010s | 2010s |
| Twórca≠ | Extension of Sims (1980) SVAR framework with Fourier-series smoothing, developed across multiple authors in 2010s | Enders & Lee; extended by Nazlioglu and others to VAR systems |
| Typ≠ | Structural time-series model | Multivariate time-series model |
| Źródło pierwotne | 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., & 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 ↗ |
| Inne nazwy | Fourier SVAR, Fourier structural VAR, Fourier-approximation SVAR, frequency-domain SVAR | Fourier VAR, smooth structural break VAR, trigonometric VAR, Fourier-augmented VAR |
| Pokrewne≠ | 3 | 6 |
| Podsumowanie≠ | The Fourier SVAR model integrates Fourier series approximations into the structural VAR framework, allowing the model to capture smooth, gradual structural breaks and time-varying dynamics in multivariate time series without requiring a priori knowledge of break dates. It recovers structural shocks and their propagation effects while remaining robust to low-frequency parameter drift. | 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. |
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