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| Test de Raíz Unitaria de Fourier Zivot-Andrews× | Test KPSS de Fourier per a la Estacionarietat amb Ruptures Estructurals Suaus× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 2012 | 2006 |
| Autor original≠ | Enders & Lee (2012), extending Zivot & Andrews (1992) | Becker, Enders, and Lee |
| Tipus≠ | Unit root test with smooth structural break | Stationarity test |
| 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 ↗ | Becker, R., Enders, W., & Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409. DOI ↗ |
| Àlies | Fourier ZA test, FZA unit root test, Fourier structural break unit root test, smooth structural break ADF test | Fourier KPSS, flexible Fourier stationarity test, F-KPSS, KPSS with Fourier approximation |
| Relacionats≠ | 6 | 3 |
| 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 Fourier KPSS test extends the standard KPSS stationarity test by embedding a flexible Fourier series in the deterministic component of the model. This approach captures smooth, gradual structural breaks in the level or trend of a time series without requiring the researcher to specify the number or timing of those breaks, yielding more reliable inference under structural change. |
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