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| OLS с отчитане на структурни прекъсвания× | Тест за единичен корен Augmented Dickey-Fuller (ADF)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1960–1998 | 1979–1984 |
| Създател≠ | Chow (1960) for the breakpoint test; Bai & Perron (1998) for multiple break estimation | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Тип≠ | Segmented linear regression | Hypothesis test (unit root) |
| Основополагащ източник≠ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗ | Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. DOI ↗ |
| Други названия | OLS with structural breaks, piecewise OLS, regime-switching OLS, breakpoint regression | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Свързани≠ | 6 | 5 |
| Резюме≠ | Structural Break OLS extends ordinary least squares to allow regression coefficients to shift at one or more breakpoints in time or across regimes. Rather than forcing a single coefficient vector across the entire sample, the model partitions the data and estimates a separate OLS regression within each segment, making it appropriate when economic relationships are suspected to change due to policy shifts, crises, or other structural events. | The Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance. |
| ScholarGateНабор от данни ↗ |
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