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| 構造的 breaks を考慮した移動平均 (MA) モデル× | 自己回帰和分移動平均モデル (ARIMA Model)× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1989–1992 | 1970 |
| 提唱者≠ | Perron (1989); Zivot & Andrews (1992) | George Box and Gwilym Jenkins |
| 種類≠ | Time series model with structural change | Time series forecasting model |
| 原典≠ | 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 ↗ |
| 別名 | 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) |
| 関連≠ | 5 | 6 |
| 概要≠ | 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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