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| Test de Raíz Unitaria de Fourier Zivot-Andrews× | Prova d'arrel unitària augmentada de Dickey-Fuller (ADF)× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 2012 | 1979–1984 |
| Autor original≠ | Enders & Lee (2012), extending Zivot & Andrews (1992) | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Tipus≠ | Unit root test with smooth structural break | Hypothesis test (unit root) |
| Font seminal≠ | 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 ↗ | Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. DOI ↗ |
| Àlies | Fourier ZA test, FZA unit root test, Fourier structural break unit root test, smooth structural break ADF test | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Relacionats≠ | 6 | 5 |
| Resum≠ | The Fourier Zivot-Andrews test extends the classic Zivot-Andrews (1992) unit root test by replacing sharp, single structural break dummies with a low-frequency Fourier approximation, allowing the test to accommodate smooth, gradual, and multiple unknown breaks in the level or trend of a series. | The Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance. |
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