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| Έλεγχος Συνολοκλήρωσης Fourier Johansen× | Έλεγχος μοναδιαίας ρίζας Fourier ADF× | |
|---|---|---|
| Πεδίο | Οικονομετρία | Οικονομετρία |
| Οικογένεια | Regression model | Regression model |
| Έτος προέλευσης≠ | 2012 (Fourier extension); 1988 (Johansen original) | 2006-2012 |
| Δημιουργός≠ | Enders & Lee (Fourier extension); Johansen (original trace/max-eigenvalue test) | Becker, Enders, and Lee; Enders and Lee |
| Τύπος≠ | Cointegration test with smooth structural breaks | Unit root test with smooth structural breaks |
| Θεμελιώδης πηγή≠ | 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 ↗ |
| Εναλλακτικές ονομασίες | Fourier Johansen test, Fourier-Johansen trace test, smooth-break Johansen cointegration, FJ cointegration | Fourier ADF test, FADF test, Flexible Fourier ADF, Fourier-based ADF unit root test |
| Συναφείς≠ | 5 | 6 |
| Σύνοψη≠ | 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 ADF unit root test extends the standard Augmented Dickey-Fuller framework by incorporating low-frequency Fourier terms into the deterministic component. This allows the test to approximate smooth, gradual structural breaks in the level or trend of a time series without requiring prior knowledge of break number, timing, or form. |
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