方法对比
并排查看您选择的方法；存在差异的行会高亮显示。
| 傅里叶 Johansen 协整检验× | 傅里叶恩格尔-格兰杰协整检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2012 (Fourier extension); 1988 (Johansen original) | 2016 |
| 提出者≠ | Enders & Lee (Fourier extension); Johansen (original trace/max-eigenvalue test) | Enders & Jones (2016), extending Engle & Granger (1987) |
| 类型≠ | Cointegration test with smooth structural breaks | Cointegration test |
| 开创性文献≠ | 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 ↗ | 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 ↗ |
| 别名 | Fourier Johansen test, Fourier-Johansen trace test, smooth-break Johansen cointegration, FJ cointegration | Fourier EG cointegration, Enders-Jones cointegration test, smooth structural break cointegration, FEGC test |
| 相关 | 5 | 5 |
| 摘要≠ | The Fourier Johansen cointegration test extends the classical Johansen trace and maximum-eigenvalue tests by embedding low-frequency Fourier terms in the deterministic component of the VECM. This allows the test to remain valid when cointegrating relationships experience gradual, smooth regime shifts that standard Johansen critical values do not accommodate. | 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. |
| ScholarGate数据集 ↗ |
|
|