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| Fourier ARDL Bounds Test× | Vektorový model korekcie chýb (VECM)× | |
|---|---|---|
| Odbor | Ekonometria | Ekonometria |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 2001-2021 | 1987 |
| Tvorca≠ | Pesaran, Shin & Smith (ARDL foundation); Fourier extension by Nazlioglu and related authors | Robert F. Engle and Clive W. J. Granger |
| Typ≠ | Cointegration / bounds test | Multivariate time-series model |
| Pôvodný zdroj≠ | Nazlioglu, S., Gormus, A., & Soytas, U. (2021). Oil prices and monetary policy in emerging markets: structural breaks, asymmetries, and Fourier approximations. Energy Economics, 95, 105119. link ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Ďalšie názvy | Fourier ARDL, Fourier bounds testing, ARDL with Fourier approximation, F-ARDL cointegration test | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Príbuzné | 5 | 5 |
| Zhrnutie≠ | The Fourier ARDL bounds test augments the Pesaran-Shin-Smith cointegration framework with trigonometric (Fourier) terms that capture gradual, smooth structural breaks in the data-generating process. It tests for a long-run level relationship between variables without requiring the researcher to specify the number, timing, or form of structural breaks in advance. | 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. |
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