手法を比較

	回帰モデルにおけるパラメータ不安定性の検出：CUSUMテスト	構造的ブレークに対するChow検定
分野	計量経済学	計量経済学
系統	Hypothesis test	Regression model
提唱年	1975	1960
提唱者	Brown, Durbin & Evans	Gregory C. Chow
種類	Recursive residual test	Test for structural break in regression coefficients
原典	Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society: Series B, 37(2), 149–192.	Chow, G. C. (1960). Tests of equality between sets of coefficients in two linear regressions. Econometrica, 28(3), 591–605.
別名	Cumulative Sum Test, CUSUMSQ Test, Brown-Durbin-Evans Test, Kümülatif Toplam Testi	Chow breakpoint test, structural break test, Chow yapısal kırılma testi
関連	3	2
概要	The CUSUM (Cumulative Sum) and CUSUMSQ (Cumulative Sum of Squares) tests, introduced by Brown, Durbin, and Evans (1975), assess whether the coefficients of a linear regression model remain constant over time. They are standard tools in econometrics for detecting structural breaks, policy shifts, or regime changes in time-series data without requiring prior knowledge of when a break occurs.	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.