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| Structural Break WLS× | Strukturelt brud OLS× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1998 (break framework); WLS long-established | 1960–1998 |
| Ophavsperson≠ | Bai & Perron (structural break framework); WLS classical | Chow (1960) for the breakpoint test; Bai & Perron (1998) for multiple break estimation |
| Type≠ | Weighted regression with regime shifts | Segmented linear regression |
| Oprindelig kilde≠ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47-78. DOI ↗ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗ |
| Aliasser | WLS with structural change, break-corrected WLS, segmented WLS, structural break weighted regression | OLS with structural breaks, piecewise OLS, regime-switching OLS, breakpoint regression |
| Relaterede≠ | 5 | 6 |
| Resumé≠ | Structural Break WLS combines Weighted Least Squares estimation with explicit detection and correction for structural breaks — abrupt regime shifts — in the data. By identifying break points and assigning observation-level weights that account for heteroscedasticity within and across regimes, the estimator delivers consistent, efficient coefficient estimates even when the error variance changes dramatically at a break. | 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. |
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