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| Fourier AR-Modell× | Fourier-ARDL-Bounds-Test (Fourier ARDL Bounds Test)× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 2012 | 2001-2021 |
| Urheber≠ | Enders & Lee | Pesaran, Shin & Smith (ARDL foundation); Fourier extension by Nazlioglu and related authors |
| Typ≠ | Time series model with Fourier augmentation | Cointegration / bounds test |
| Wegweisende Quelle≠ | 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 ↗ | 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 ↗ |
| Aliasnamen | Fourier AR, trigonometric AR model, smooth transition AR with Fourier terms, FAR model | Fourier ARDL, Fourier bounds testing, ARDL with Fourier approximation, F-ARDL cointegration test |
| Verwandt≠ | 6 | 5 |
| Zusammenfassung≠ | The Fourier AR model extends the standard autoregressive specification by adding trigonometric (sine and cosine) terms to the deterministic component. This allows the model to capture smooth, gradual shifts in the mean or trend of a time series without requiring the researcher to locate or count structural break points explicitly. | 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. |
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