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| Fourier OLS (Fourier-Augmented Ordinary Least Squares)× | OLS so štruktúrnym zlomom× | |
|---|---|---|
| Odbor | Ekonometria | Ekonometria |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 2004 | 1960–1998 |
| Tvorca≠ | Becker, Enders, and Hurn | Chow (1960) for the breakpoint test; Bai & Perron (1998) for multiple break estimation |
| Typ≠ | Augmented linear regression | Segmented linear regression |
| Pôvodný zdroj≠ | Becker, R., Enders, W., & Hurn, S. (2004). A general test for time dependence in parameters. Journal of Applied Econometrics, 19(7), 899–906. DOI ↗ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗ |
| Ďalšie názvy | Fourier OLS, Fourier-augmented OLS, trigonometric OLS, smooth structural break OLS | OLS with structural breaks, piecewise OLS, regime-switching OLS, breakpoint regression |
| Príbuzné | 6 | 6 |
| Zhrnutie≠ | Fourier OLS is an OLS regression extended by adding low-frequency trigonometric (sine and cosine) terms to the regressor matrix. These Fourier components approximate smooth, gradual structural changes in the regression relationship over time without requiring knowledge of the number, timing, or form of the breaks. | Structural Break OLS extends ordinary least squares to allow regression coefficients to shift at one or more breakpoints in time or across regimes. Rather than forcing a single coefficient vector across the entire sample, the model partitions the data and estimates a separate OLS regression within each segment, making it appropriate when economic relationships are suspected to change due to policy shifts, crises, or other structural events. |
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