Comparar métodos
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| Teste de Limites ARDL de Fourier× | Modelo ARDL Não Linear (NARDL)× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 2001-2021 | 2014 |
| Autor original≠ | Pesaran, Shin & Smith (ARDL foundation); Fourier extension by Nazlioglu and related authors | Shin, Yu & Greenwood-Nimmo |
| Tipo≠ | Cointegration / bounds test | Nonlinear cointegration model |
| Fonte seminal≠ | 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 ↗ | Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. C. Sickles & W. C. Horrace (Eds.), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications (pp. 281–314). Springer. link ↗ |
| Outros nomes | Fourier ARDL, Fourier bounds testing, ARDL with Fourier approximation, F-ARDL cointegration test | NARDL, nonlinear bounds test, asymmetric ARDL, asymmetric cointegration model |
| Relacionados | 5 | 5 |
| Resumo≠ | 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. | The Nonlinear ARDL (NARDL) model extends the linear ARDL bounds-testing framework to allow asymmetric long-run and short-run relationships. By decomposing the regressor into cumulative positive and negative partial sums, it tests whether increases and decreases in a variable exert different effects on the outcome — a feature especially relevant in financial and energy economics where positive and negative shocks rarely cancel out symmetrically. |
| ScholarGateConjunto de dados ↗ |
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