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| Коинтеграционный тест Фурье-Йохансена× | Модель коррекции ошибок вектора (VECM)× | |
|---|---|---|
| Область | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model |
| Год появления≠ | 2012 (Fourier extension); 1988 (Johansen original) | 1987 |
| Автор метода≠ | Enders & Lee (Fourier extension); Johansen (original trace/max-eigenvalue test) | Robert F. Engle and Clive W. J. Granger |
| Тип≠ | Cointegration test with smooth structural breaks | Multivariate time-series model |
| Основополагающий источник≠ | 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 ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Другие названия | Fourier Johansen test, Fourier-Johansen trace test, smooth-break Johansen cointegration, FJ cointegration | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Связанные | 5 | 5 |
| Сводка≠ | The Fourier Johansen cointegration test extends the classical Johansen trace and maximum-eigenvalue tests by embedding low-frequency Fourier terms in the deterministic component of the VECM. This allows the test to remain valid when cointegrating relationships experience gradual, smooth regime shifts that standard Johansen critical values do not accommodate. | The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series. |
| ScholarGateНабор данных ↗ |
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