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