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| Fourier KPSS test× | Test stacjonarności KPSS× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 2006 | 1992 |
| Twórca≠ | Becker, Enders, and Lee | Kwiatkowski, Phillips, Schmidt & Shin |
| Typ≠ | Stationarity test | Stationarity test (reverse of unit-root tests) |
| Źródło pierwotne≠ | 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 ↗ | Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1–3), 159–178. DOI ↗ |
| Inne nazwy≠ | Fourier KPSS, flexible Fourier stationarity test, F-KPSS, KPSS with Fourier approximation | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi |
| Pokrewne≠ | 3 | 4 |
| Podsumowanie≠ | 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. | The KPSS test, introduced by Kwiatkowski, Phillips, Schmidt and Shin in 1992, tests the null hypothesis that a series is stationary against the alternative that it contains a unit root — the reverse of the ADF and Phillips-Perron tests. By flipping the burden of proof, it is designed to be used alongside unit-root tests so that the two can confirm one another and expose ambiguous, borderline cases. |
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