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| Modello ARIMA con Rotture Strutturali× | Test di Rottura Strutturale Multipla di Bai-Perron× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia≠ | Regression model | Hypothesis test |
| Anno di origine≠ | 1989-1998 | 1998 |
| Ideatore≠ | Perron (1989); extended by Bai & Perron (1998) | Jushan Bai & Pierre Perron |
| Tipo≠ | Time series model with regime detection | Sequential hypothesis test for multiple structural breaks |
| Fonte seminale≠ | 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 ↗ |
| Alias | ARIMA with structural breaks, break-adjusted ARIMA, piecewise ARIMA, ARIMA with regime shifts | Bai-Perron Multiple Break Test, Multiple Structural Change Test, Sequential Structural Break Test, Çoklu Yapısal Kırılma Testi |
| Correlati≠ | 3 | 2 |
| Sintesi≠ | 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. | The Bai-Perron test, introduced by Jushan Bai and Pierre Perron in their landmark 1998 Econometrica paper, is a least-squares-based procedure for detecting, estimating, and testing the number of structural breaks in a linear regression model estimated on time-series data. Unlike single-break tests, it simultaneously identifies multiple change-points in a sample, providing economists and empirical researchers with a rigorous, data-driven way to locate parameter instability across time. |
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