Regression modelEconometrics / time series
Fourier OLS (Fourier-Augmented Ordinary Least Squares)
Fourier OLS is an OLS regression extended by adding low-frequency trigonometric (sine and cosine) terms to the regressor matrix. These Fourier components approximate smooth, gradual structural changes in the regression relationship over time without requiring knowledge of the number, timing, or form of the breaks.
EconMind ile uygulaSoonVideoSoon
Tam yöntemi oku
Members only
Sign inSign in with a free account to read this section.
Sources
- Becker, R., Enders, W., & Hurn, S. (2004). A general test for time dependence in parameters. Journal of Applied Econometrics, 19(7), 899–906. DOI: 10.1002/jae.751 ↗
- 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: 10.1111/j.1468-0084.2011.00662.x ↗