Regression modelEconometrics / time series

Fourier GLS (Fourier Generalized Least Squares)

Fourier GLS embeds low-frequency trigonometric (Fourier) terms into a generalized least squares framework to capture smooth, gradual structural change in a time series without requiring the researcher to specify when or how many breaks occurred. The approach is particularly valued in unit root testing and cointegration analysis where conventional break-date assumptions may be arbitrary.

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Sources

  1. Becker, R., Enders, W., & Hurn, S. (2004). A general test for time dependence in parameters. Journal of Applied Econometrics, 19(7), 899-906. DOI: 10.1002/jae.751
  2. Enders, W., & Lee, J. (2012). The flexible Fourier form and Dickey-Fuller type unit root tests. Economics Letters, 117(1), 196-199. DOI: 10.1016/j.econlet.2012.04.081

Related methods

ScholarGateFourier GLS (Fourier Generalized Least Squares). Retrieved 2026-06-04 from https://scholargate.app/en/econometrics/fourier-gls