השוואת שיטות
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| מודל ממוצעים נעים (MA) עם שבר מבני× | מודל ARIMA (Autoregressive Integrated Moving Average)× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 1989–1992 | 1970 |
| הוגה השיטה≠ | Perron (1989); Zivot & Andrews (1992) | George Box and Gwilym Jenkins |
| סוג≠ | Time series model with structural change | Time series forecasting model |
| מקור מכונן≠ | Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361–1401. DOI ↗ | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ |
| כינויים | MA model with structural change, broken MA model, MA with regime shift, structural break moving average | ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q) |
| קשורות≠ | 5 | 6 |
| תקציר≠ | 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. | The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics. |
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