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Fourier Engle-Granger cointegration/Evidence
Method evidence record

Fourier Engle-Granger cointegration

The Fourier Engle-Granger cointegration test extends the classic two-step Engle-Granger procedure by embedding low-frequency trigonometric (Fourier) terms in the cointegrating regression. This accommodates an unknown number of smooth structural breaks in the deterministic components without specifying their dates, producing a more powerful test when long-run relationships shift gradually over time.

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Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Fourier Engle-Granger Cointegration Test
Taxonomic method record · regression-model / econometrics
  • Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics and Econometrics, 20(4), 399–419. · DOI 10.1515/snde-2014-0101
  • Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. · DOI 10.2307/1913236
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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Taxonomic bucketEngle-Granger Cointegration Testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketFourier ADF unit root testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketFourier ARDL Bounds Testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketFourier VECMmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketVector Error Correction Modelmachine-suggested · Relational suggestion, not evidence.

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Sources

2 recorded citations, copied from the method source record.

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