Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Teste de Causalidade de Granger de Fourier× | Autoregressores Vetoriais (VAR)× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 2016 | 1980 |
| Autor original≠ | Enders and Jones | Christopher A. Sims |
| Tipo≠ | Causality test | Multivariate time-series model |
| 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 ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Outros nomes | Fourier Granger causality test, Enders-Jones Granger causality, smooth structural break Granger test, spectral Granger causality | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Relacionados≠ | 6 | 5 |
| Resumo≠ | 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. | Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance. |
| ScholarGateConjunto de dados ↗ |
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