手法を比較

	フーリエ・グレンジャー因果性テスト	フーリエADF単位根検定
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	2016	2006-2012
提唱者	Enders and Jones	Becker, Enders, and Lee; Enders and Lee
種類	Causality test	Unit root test with smooth structural breaks
原典	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.	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.
別名	Fourier Granger causality test, Enders-Jones Granger causality, smooth structural break Granger test, spectral Granger causality	Fourier ADF test, FADF test, Flexible Fourier ADF, Fourier-based ADF unit root test
関連	6	6
概要	The Fourier Granger causality test extends the classic Granger causality framework by embedding low-frequency Fourier terms in the VAR equation, allowing the causal relationship to shift gradually over time without requiring the researcher to pre-specify the number or location of structural breaks.	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.