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| Test de Cointégration ARDL de Fourier× | Test de cointégration de Fourier Engle-Granger× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2001-2021 | 2016 |
| Auteur d'origine≠ | Pesaran, Shin & Smith (ARDL foundation); Fourier extension by Nazlioglu and related authors | Enders & Jones (2016), extending Engle & Granger (1987) |
| Type≠ | Cointegration / bounds test | Cointegration test |
| Source fondatrice≠ | Nazlioglu, S., Gormus, A., & Soytas, U. (2021). Oil prices and monetary policy in emerging markets: structural breaks, asymmetries, and Fourier approximations. Energy Economics, 95, 105119. link ↗ | 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 ARDL, Fourier bounds testing, ARDL with Fourier approximation, F-ARDL cointegration test | Fourier EG cointegration, Enders-Jones cointegration test, smooth structural break cointegration, FEGC test |
| Apparentées | 5 | 5 |
| Résumé≠ | The Fourier ARDL bounds test augments the Pesaran-Shin-Smith cointegration framework with trigonometric (Fourier) terms that capture gradual, smooth structural breaks in the data-generating process. It tests for a long-run level relationship between variables without requiring the researcher to specify the number, timing, or form of structural breaks in advance. | 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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