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| Test de racine unitaire ADF de Fourier× | Test de cointégration de Fourier Engle-Granger× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2006-2012 | 2016 |
| Auteur d'origine≠ | Becker, Enders, and Lee; Enders and Lee | Enders & Jones (2016), extending Engle & Granger (1987) |
| Type≠ | Unit root test with smooth structural breaks | Cointegration test |
| 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 ↗ | 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 ↗ |
| Alias | Fourier ADF test, FADF test, Flexible Fourier ADF, Fourier-based ADF unit root test | Fourier EG cointegration, Enders-Jones cointegration test, smooth structural break cointegration, FEGC 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 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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