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Fourier Johansen cointegration/Evidence
Method evidence record

Fourier Johansen cointegration

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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Source record

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

Fourier-Approximated Johansen Cointegration Test
Taxonomic method record · regression-model / econometrics
  • 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
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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 Engle-Granger cointegrationmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketStructural break Johansen cointegrationmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketVector Error Correction Modelmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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