Comparer des méthodes

	Modèle AR à rupture structurelle	Modèle ARIMA avec rupture structurelle
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1989-2003	1989-1998
Auteur d'origine	Perron (1989); Bai & Perron (1998, 2003)	Perron (1989); extended by Bai & Perron (1998)
Type	Time-series model with structural change	Time series model with regime detection
Source fondatrice	Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1-22.	Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47-78.
Alias	AR model with structural change, breakpoint AR model, piecewise autoregressive model, AR model with regime shifts	ARIMA with structural breaks, break-adjusted ARIMA, piecewise ARIMA, ARIMA with regime shifts
Apparentées	6	3
Résumé	The structural break AR model extends the standard autoregressive framework by allowing the intercept and autoregressive coefficients to shift at one or more unknown break dates. Each regime between consecutive break points is governed by its own AR parameters, capturing abrupt changes in the dynamics of a time series caused by crises, policy shifts, or other shocks.	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.