Σύγκριση μεθόδων
Εξετάστε τις επιλεγμένες μεθόδους δίπλα-δίπλα· οι γραμμές που διαφέρουν επισημαίνονται.
| Μοντέλο Κινητού Μέσου Όρου (MA) με Δομικό Ρήγμα× | Μοντέλο ARIMA με Δομικό Ρήγμα× | |
|---|---|---|
| Πεδίο | Οικονομετρία | Οικονομετρία |
| Οικογένεια | Regression model | Regression model |
| Έτος προέλευσης≠ | 1989–1992 | 1989-1998 |
| Δημιουργός≠ | Perron (1989); Zivot & Andrews (1992) | Perron (1989); extended by Bai & Perron (1998) |
| Τύπος≠ | Time series model with structural change | Time series model with regime detection |
| Θεμελιώδης πηγή≠ | Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361–1401. DOI ↗ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47-78. DOI ↗ |
| Εναλλακτικές ονομασίες | MA model with structural change, broken MA model, MA with regime shift, structural break moving average | ARIMA with structural breaks, break-adjusted ARIMA, piecewise ARIMA, ARIMA with regime shifts |
| Συναφείς≠ | 5 | 3 |
| Σύνοψη≠ | A Moving Average (MA) time series model augmented to accommodate one or more structural breaks — abrupt shifts in the mean, variance, or MA coefficients occurring at known or unknown break dates. Ignoring structural breaks in an MA process inflates forecast errors and distorts inference on the error dynamics. | A structural break ARIMA model extends the standard ARIMA framework by explicitly identifying and accommodating one or more abrupt shifts in the level, trend, or dynamics of a time series. Rather than forcing a single set of ARIMA parameters across the entire sample, it fits separate ARIMA specifications for each regime defined by the detected break dates. |
| ScholarGateΣύνολο δεδομένων ↗ |
|
|