Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Модель Фур'є VAR× | Модель векторної авторегресії (VAR)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 2010s | 2005 |
| Автор методу≠ | Enders & Lee; extended by Nazlioglu and others to VAR systems | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Тип | Multivariate time-series model | Multivariate time-series model |
| Основоположне джерело≠ | 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 ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Інші назви | Fourier VAR, smooth structural break VAR, trigonometric VAR, Fourier-augmented VAR | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Пов'язані≠ | 6 | 4 |
| Підсумок≠ | 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. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
| ScholarGateНабір даних ↗ |
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