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| Test de racine unitaire de Phillips-Perron à la Fourier (Fourier PP)× | Test de racine unitaire avec rupture structurelle de Phillips-Perron× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2006 | 1988/1997 |
| Auteur d'origine≠ | Becker, Enders, and Lee | Pierre Perron (building on Phillips & Perron) |
| Type≠ | Unit root test with Fourier approximation | Hypothesis test |
| Source fondatrice≠ | Enders, W., & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business and Economic Statistics, 19(2), 166-176. DOI ↗ | Perron, P. (1997). Further evidence on breaking trend functions in macroeconomic variables. Journal of Econometrics, 80(2), 355-385. DOI ↗ |
| Alias | Fourier PP test, Flexible Fourier PP unit root test, Enders-Lee Fourier PP test, nonlinear PP unit root test | break-augmented PP test, Phillips-Perron test with structural break, structural break unit root test, PP unit root test with break |
| Apparentées≠ | 6 | 0 |
| Résumé≠ | The Fourier PP unit root test extends the classical Phillips-Perron test by embedding low-frequency Fourier terms in the deterministic component, enabling the test to account for an unknown number of smooth, gradual structural breaks in the level or trend without pre-specifying their timing or shape. | The structural break Phillips-Perron (PP) unit root test extends the classical PP framework to allow for one or more discrete shifts in the level or trend of a time series. By endogenously or exogenously identifying break dates and controlling for them, it tests the null of a unit root against a trend-stationary alternative that accommodates structural change, avoiding the spurious acceptance of non-stationarity caused by ignored breaks. |
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