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| Model Fourier SARIMA× | Test graniczny Fouriera ARDL× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1994 | 2001-2021 |
| Twórca≠ | Harvey & Scott (1994); Hyndman & Athanasopoulos (popularization) | Pesaran, Shin & Smith (ARDL foundation); Fourier extension by Nazlioglu and related authors |
| Typ≠ | Seasonal time series model with trigonometric regressors | Cointegration / bounds test |
| Źródło pierwotne≠ | Harvey, A., & Scott, A. (1994). Seasonality in dynamic regression models. The Economic Journal, 104(427), 1324-1345. link ↗ | Nazlioglu, S., Gormus, A., & Soytas, U. (2021). Oil prices and monetary policy in emerging markets: structural breaks, asymmetries, and Fourier approximations. Energy Economics, 95, 105119. link ↗ |
| Inne nazwy | Fourier SARIMA, SARIMA with Fourier terms, Fourier-SARIMA, trigonometric SARIMA | Fourier ARDL, Fourier bounds testing, ARDL with Fourier approximation, F-ARDL cointegration test |
| Pokrewne≠ | 6 | 5 |
| Podsumowanie≠ | The Fourier SARIMA model extends the classical Seasonal ARIMA framework by incorporating trigonometric (Fourier) terms as deterministic regressors. This allows the model to approximate smooth, complex, or multiple-frequency seasonal patterns without requiring a full seasonal ARIMA structure for every frequency, making it particularly useful for high-frequency data or series with non-integer or evolving seasonality. | The Fourier ARDL bounds test augments the Pesaran-Shin-Smith cointegration framework with trigonometric (Fourier) terms that capture gradual, smooth structural breaks in the data-generating process. It tests for a long-run level relationship between variables without requiring the researcher to specify the number, timing, or form of structural breaks in advance. |
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