方法对比
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| 傅里叶向量误差修正模型 (Fourier VECM)× | 含结构性断点的向量误差修正模型 (SB-VECM)× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2004–2012 | 1996–2000 |
| 提出者≠ | Enders & Lee (2004/2012); extended to VECM by subsequent authors | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) |
| 类型≠ | Error-correction model with Fourier terms | Multivariate error correction model with structural breaks |
| 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 ↗ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. DOI ↗ |
| 别名 | Fourier VECM, Fourier-approximation VECM, smooth-break VECM, trigonometric VECM | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM |
| 相关 | 5 | 5 |
| 摘要≠ | 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. | The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. |
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