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Fourier SVAR Model/Ushahidi
Rekodi ya ushahidi wa mbinu

Fourier SVAR Model

The Fourier SVAR model integrates Fourier series approximations into the structural VAR framework, allowing the model to capture smooth, gradual structural breaks and time-varying dynamics in multivariate time series without requiring a priori knowledge of break dates. It recovers structural shocks and their propagation effects while remaining robust to low-frequency parameter drift.

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Fourier Structural Vector Autoregression Model
Rekodi ya mbinu ya kiajenda · regression-model / econometrics
  • 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 10.1111/j.1468-0084.2011.00662.x
  • Bernal, O., & Gnabo, J. Y. (2023). Fourier-based structural VAR models with time-varying parameters. Journal of Applied Econometrics, 38(3), 321-345. · URL
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Taxonomic bucketBayesian VAR modelmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketFourier VAR modelmachine-suggested · Relational suggestion, not evidence.Same method familyVAR Modelmachine-suggested · Relational suggestion, not evidence.

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