Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Test de racine unitaire de Fourier Zivot-Andrews× | Test de stationnarité KPSS de Fourier avec ruptures structurelles lisses× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2012 | 2006 |
| Auteur d'origine≠ | Enders & Lee (2012), extending Zivot & Andrews (1992) | Becker, Enders, and Lee |
| Type≠ | Unit root test with smooth structural break | Stationarity 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. 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 KPSS, flexible Fourier stationarity test, F-KPSS, KPSS with Fourier approximation |
| Apparentées≠ | 6 | 3 |
| 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 KPSS test extends the standard KPSS stationarity test by embedding a flexible Fourier series in the deterministic component of the model. This approach captures smooth, gradual structural breaks in the level or trend of a time series without requiring the researcher to specify the number or timing of those breaks, yielding more reliable inference under structural change. |
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