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| Test de racine unitaire de Fourier Zivot-Andrews× | Test de racine unitaire ADF de Fourier× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2012 | 2006-2012 |
| Auteur d'origine≠ | Enders & Lee (2012), extending Zivot & Andrews (1992) | Becker, Enders, and Lee; Enders and Lee |
| Type≠ | Unit root test with smooth structural break | 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 ZA test, FZA unit root test, Fourier structural break unit root test, smooth structural break ADF test | Fourier ADF test, FADF test, Flexible Fourier ADF, Fourier-based ADF unit root test |
| Apparentées | 6 | 6 |
| Résumé≠ | The Fourier Zivot-Andrews test extends the classic Zivot-Andrews (1992) unit root test by replacing sharp, single structural break dummies with a low-frequency Fourier approximation, allowing the test to accommodate smooth, gradual, and multiple unknown breaks in the level or trend of a series. | 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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