Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Teste de Cointegração de Fourier Engle-Granger× | Modelo de Correção de Erros Vetorial com Fourier (Fourier VECM)× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 2016 | 2004–2012 |
| Autor original≠ | Enders & Jones (2016), extending Engle & Granger (1987) | Enders & Lee (2004/2012); extended to VECM by subsequent authors |
| Tipo≠ | Cointegration test | Error-correction model with Fourier terms |
| Fonte seminal≠ | 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 ↗ | 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 ↗ |
| Outros nomes | Fourier EG cointegration, Enders-Jones cointegration test, smooth structural break cointegration, FEGC test | Fourier VECM, Fourier-approximation VECM, smooth-break VECM, trigonometric VECM |
| Relacionados | 5 | 5 |
| Resumo≠ | 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 VECM augments the classical vector error correction model with low-frequency trigonometric terms — sine and cosine components — to capture smooth, gradual structural change in cointegrating relationships without specifying the number or timing of breaks in advance. It is used for multivariate cointegrated systems where long-run equilibria may shift gradually over time. |
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