方法对比
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| 傅里叶ARDL边界检验× | 结构断裂ARDL边界检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2001-2021 | 2001–2010s |
| 提出者≠ | Pesaran, Shin & Smith (ARDL foundation); Fourier extension by Nazlioglu and related authors | Pesaran, Shin & Smith (bounds framework); structural break extensions by Bahmani-Oskooee, Enders & Jones, and others |
| 类型 | Cointegration / bounds test | Cointegration / bounds test |
| 开创性文献≠ | 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 ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ |
| 别名 | Fourier ARDL, Fourier bounds testing, ARDL with Fourier approximation, F-ARDL cointegration test | SB-ARDL bounds test, ARDL bounds test with structural break, Fourier ARDL bounds test, break-augmented bounds testing |
| 相关≠ | 5 | 6 |
| 摘要≠ | 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 structural break ARDL bounds test extends the Pesaran, Shin and Smith (2001) bounds testing framework to accommodate one or more structural breaks in the long-run relationship between time-series variables. By incorporating break dummies or smooth Fourier terms into the ARDL error-correction equation, it allows researchers to test for cointegration even when the data have experienced shifts in intercept or slope caused by policy changes, crises, or regime switches. |
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