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| Test de cointégration de Johansen-Fourier× | Test de racine unitaire ADF de Fourier× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2012 (Fourier extension); 1988 (Johansen original) | 2006-2012 |
| Auteur d'origine≠ | Enders & Lee (Fourier extension); Johansen (original trace/max-eigenvalue test) | Becker, Enders, and Lee; Enders and Lee |
| Type≠ | Cointegration test with smooth structural breaks | Unit root test with smooth structural breaks |
| Source fondatrice≠ | 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 ↗ | 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 ↗ |
| Alias | Fourier Johansen test, Fourier-Johansen trace test, smooth-break Johansen cointegration, FJ cointegration | Fourier ADF test, FADF test, Flexible Fourier ADF, Fourier-based ADF unit root test |
| Apparentées≠ | 5 | 6 |
| Résumé≠ | 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. | 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. |
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