Uporedite metode
Pregledajte izabrane metode jednu pored druge; redovi koji se razlikuju su istaknuti.
| Furijeov Englov-Grejndžerov test kointegracije× | Model korekcije greške vektora po Fourijevoj transformaciji (Fourier VECM)× | |
|---|---|---|
| Oblast | Ekonometrija | Ekonometrija |
| Porodica | Regression model | Regression model |
| Godina nastanka≠ | 2016 | 2004–2012 |
| Tvorac≠ | Enders & Jones (2016), extending Engle & Granger (1987) | Enders & Lee (2004/2012); extended to VECM by subsequent authors |
| Tip≠ | Cointegration test | Error-correction model with Fourier terms |
| Temeljni izvor≠ | Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics and Econometrics, 20(4), 399–419. 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 ↗ |
| Drugi nazivi | Fourier EG cointegration, Enders-Jones cointegration test, smooth structural break cointegration, FEGC test | Fourier VECM, Fourier-approximation VECM, smooth-break VECM, trigonometric VECM |
| Srodne | 5 | 5 |
| Sažetak≠ | The Fourier Engle-Granger cointegration test extends the classic two-step Engle-Granger procedure by embedding low-frequency trigonometric (Fourier) terms in the cointegrating regression. This accommodates an unknown number of smooth structural breaks in the deterministic components without specifying their dates, producing a more powerful test when long-run relationships shift gradually over time. | 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. |
| ScholarGateSkup podataka ↗ |
|
|