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| Modello ARIMA con Rotture Strutturali× | Il test di Chow per la rottura strutturale× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 1989-1998 | 1960 |
| Ideatore≠ | Perron (1989); extended by Bai & Perron (1998) | Gregory C. Chow |
| Tipo≠ | Time series model with regime detection | Test for structural break in regression coefficients |
| Fonte seminale≠ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47-78. DOI ↗ | Chow, G. C. (1960). Tests of equality between sets of coefficients in two linear regressions. Econometrica, 28(3), 591–605. DOI ↗ |
| Alias≠ | ARIMA with structural breaks, break-adjusted ARIMA, piecewise ARIMA, ARIMA with regime shifts | Chow breakpoint test, structural break test, Chow 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 Chow test, introduced by Gregory Chow in 1960, checks whether the coefficients of a linear regression are the same across two subsamples — that is, whether a structural break occurs at a known point such as a policy change, crisis, or regime shift. It compares the fit of a single pooled regression with the combined fit of two separate regressions; a large improvement from splitting indicates the relationship differs between the two periods or groups. |
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