Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Modelo VAR de Fourier× | Autoregressores Vetoriais Estruturais (SVAR)× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 2010s | 1980 |
| Autor original≠ | Enders & Lee; extended by Nazlioglu and others to VAR systems | Sims (1980); identification schemes by Blanchard & Quah (1989) |
| Tipo≠ | Multivariate time-series model | Multivariate time series model |
| Fonte seminal≠ | 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 ↗ | Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673. link ↗ |
| Outros nomes | Fourier VAR, smooth structural break VAR, trigonometric VAR, Fourier-augmented VAR | SVAR, structural vector autoregression, identified VAR, structural VAR model |
| Relacionados≠ | 6 | 5 |
| Resumo≠ | 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. | Structural VAR extends the reduced-form VAR by imposing economic theory-based restrictions that identify orthogonal structural shocks. This allows researchers to disentangle the causal effects of distinct economic disturbances — such as supply versus demand shocks — and trace their dynamic propagation through a system of variables via impulse response functions and forecast error variance decompositions. |
| ScholarGateConjunto de dados ↗ |
|
|