Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Teste de Raiz Unitária ADF de Fourier× | Teste KPSS de Fourier para Estacionariedade com Rupturas Estruturais Suaves× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 2006-2012 | 2006 |
| Autor original≠ | Becker, Enders, and Lee; Enders and Lee | Becker, Enders, and Lee |
| Tipo≠ | Unit root test with smooth structural breaks | Stationarity test |
| Fonte seminal | 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 ↗ | 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 ↗ |
| Outros nomes | Fourier ADF test, FADF test, Flexible Fourier ADF, Fourier-based ADF unit root test | Fourier KPSS, flexible Fourier stationarity test, F-KPSS, KPSS with Fourier approximation |
| Relacionados≠ | 6 | 3 |
| Resumo≠ | 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. | 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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