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| Systemowy GMM Fouriera× | Test graniczny Fouriera ARDL× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 2000s–2010s | 2001-2021 |
| Twórca≠ | Blundell & Bond (System GMM, 1998); Fourier augmentation adapted from Gallant (1981) and Becker, Enders & Lee (2006) | Pesaran, Shin & Smith (ARDL foundation); Fourier extension by Nazlioglu and related authors |
| Typ≠ | Dynamic panel GMM with Fourier smooth-break regressors | Cointegration / bounds test |
| Źródło pierwotne≠ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. 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 ↗ |
| Inne nazwy | Fourier System GMM, Fourier-augmented Blundell-Bond GMM, smooth-break system GMM, Fourier SGMM | Fourier ARDL, Fourier bounds testing, ARDL with Fourier approximation, F-ARDL cointegration test |
| Pokrewne≠ | 6 | 5 |
| Podsumowanie≠ | Fourier system GMM embeds Fourier trigonometric terms into the System GMM estimator of Blundell and Bond (1998) to accommodate smooth, gradual structural breaks in dynamic panel data. By adding sine and cosine components as regressors, the estimator captures unknown, potentially multiple regime shifts without requiring prior knowledge of break dates, while preserving the instrument-based controls for endogeneity and individual fixed effects. | 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. |
| ScholarGateZbiór danych ↗ |
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