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| Test de racine unitaire ADF de Fourier× | Test de racine unitaire Augmented Dickey-Fuller (ADF)× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2006-2012 | 1979–1984 |
| Auteur d'origine≠ | Becker, Enders, and Lee; Enders and Lee | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Type≠ | Unit root test with smooth structural breaks | Hypothesis test (unit root) |
| Source fondatrice≠ | Becker, R., Enders, W., & Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409. DOI ↗ | Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. DOI ↗ |
| Alias | Fourier ADF test, FADF test, Flexible Fourier ADF, Fourier-based ADF unit root test | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Apparentées≠ | 6 | 5 |
| Résumé≠ | The Fourier ADF unit root test extends the standard Augmented Dickey-Fuller framework by incorporating low-frequency Fourier terms into the deterministic component. This allows the test to approximate smooth, gradual structural breaks in the level or trend of a time series without requiring prior knowledge of break number, timing, or form. | The Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance. |
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