Regression modelEconometrics / time series
Fourier Johansen Cointegration Test
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.
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Sources
- 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: 10.1111/j.1468-0084.2011.00662.x ↗
- Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254. DOI: 10.1016/0165-1889(88)90041-3 ↗