Regression modelEconometrics / time series
Fourier WLS (Fourier Flexible Weighted Least Squares)
Fourier WLS is a time-series regression technique that embeds low-frequency Fourier trigonometric terms into a Weighted Least Squares framework to capture smooth, gradual structural breaks in means or trends without requiring the researcher to pre-specify their location, timing, or number.
Apply with EconMindSoonVideoSoon
Read the full method
Members only
Sign inSign in with a free account to read this section.
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 ↗
- Gallant, A. R. (1984). The Fourier flexible form. American Journal of Agricultural Economics, 66(2), 204–208. DOI: 10.2307/1240463 ↗