Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Модель Фурье-ВАР× | Векторная модель коррекции ошибок Фурье (Fourier VECM)× | |
|---|---|---|
| Область | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model |
| Год появления≠ | 2010s | 2004–2012 |
| Автор метода≠ | Enders & Lee; extended by Nazlioglu and others to VAR systems | Enders & Lee (2004/2012); extended to VECM by subsequent authors |
| Тип≠ | Multivariate time-series model | Error-correction model with Fourier terms |
| 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 ↗ | 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 ↗ |
| Другие названия | Fourier VAR, smooth structural break VAR, trigonometric VAR, Fourier-augmented VAR | Fourier VECM, Fourier-approximation VECM, smooth-break VECM, trigonometric VECM |
| Связанные≠ | 6 | 5 |
| Сводка≠ | 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. | 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. |
| ScholarGateНабор данных ↗ |
|
|