Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Modèle MA à rupture structurelle× | Modèle ARIMA avec rupture structurelle× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1989–1992 | 1989-1998 |
| Auteur d'origine≠ | Perron (1989); Zivot & Andrews (1992) | Perron (1989); extended by Bai & Perron (1998) |
| Type≠ | Time series model with structural change | Time series model with regime detection |
| Source fondatrice≠ | 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 ↗ |
| Alias | 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 |
| Apparentées≠ | 5 | 3 |
| Résumé≠ | 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. |
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