Comparer des méthodes

	Test de cointégration de Johansen-Fourier	Test de cointégration de Fourier Engle-Granger
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2012 (Fourier extension); 1988 (Johansen original)	2016
Auteur d'origine	Enders & Lee (Fourier extension); Johansen (original trace/max-eigenvalue test)	Enders & Jones (2016), extending Engle & Granger (1987)
Type	Cointegration test with smooth structural breaks	Cointegration test
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.	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.
Alias	Fourier Johansen test, Fourier-Johansen trace test, smooth-break Johansen cointegration, FJ cointegration	Fourier EG cointegration, Enders-Jones cointegration test, smooth structural break cointegration, FEGC test
Apparentées	5	5
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 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.