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| Quandt-Andrews-testen for ukendte strukturelle brud× | CUSUM-test: Detektering af parameterinstabilitet i regressionsmodeller× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Hypothesis test | Hypothesis test |
| Oprindelsesår≠ | 1993 | 1975 |
| Ophavsperson≠ | Donald Andrews | Brown, Durbin & Evans |
| Type≠ | Supremum test for structural change | Recursive residual test |
| Oprindelig kilde≠ | Andrews, D. W. K. (1993). Tests for parameter instability and structural change with unknown change point. Econometrica, 61(4), 821–856. DOI ↗ | Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society: Series B, 37(2), 149–192. DOI ↗ |
| Aliasser | sup-Wald Test, Andrews Breakpoint Test, Unknown Structural Break Test, Quandt Likelihood Ratio Test | Cumulative Sum Test, CUSUMSQ Test, Brown-Durbin-Evans Test, Kümülatif Toplam Testi |
| Relaterede | 3 | 3 |
| Resumé≠ | The Quandt-Andrews test, formalized by Andrews (1993), detects structural breaks in regression parameters when the breakpoint date is unknown a priori. It sweeps all candidate break dates within a trimmed interior of the sample, computes a Wald (or LM/LR) statistic at each candidate, and reports the supremum of those statistics. Applied economists and time-series analysts use it to test whether coefficients remain stable across a full estimation window without needing to specify when the break occurred. | The CUSUM (Cumulative Sum) and CUSUMSQ (Cumulative Sum of Squares) tests, introduced by Brown, Durbin, and Evans (1975), assess whether the coefficients of a linear regression model remain constant over time. They are standard tools in econometrics for detecting structural breaks, policy shifts, or regime changes in time-series data without requiring prior knowledge of when a break occurs. |
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