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| 구조적 변화에 대한 Chow 검정× | Quandt-Andrews 검정 (알 수 없는 구조적 변화)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열≠ | Regression model | Hypothesis test |
| 기원 연도≠ | 1960 | 1993 |
| 창시자≠ | Gregory C. Chow | Donald Andrews |
| 유형≠ | Test for structural break in regression coefficients | Supremum test for structural change |
| 원전≠ | Chow, G. C. (1960). Tests of equality between sets of coefficients in two linear regressions. Econometrica, 28(3), 591–605. DOI ↗ | Andrews, D. W. K. (1993). Tests for parameter instability and structural change with unknown change point. Econometrica, 61(4), 821–856. DOI ↗ |
| 별칭≠ | Chow breakpoint test, structural break test, Chow yapısal kırılma testi | sup-Wald Test, Andrews Breakpoint Test, Unknown Structural Break Test, Quandt Likelihood Ratio Test |
| 관련≠ | 2 | 3 |
| 요약≠ | 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. | The Quandt-Andrews test, formalized by Andrews (1993), detects structural breaks in regression parameters when the breakpoint date is unknown a priori. It sweeps all candidate break dates within a trimmed interior of the sample, computes a Wald (or LM/LR) statistic at each candidate, and reports the supremum of those statistics. Applied economists and time-series analysts use it to test whether coefficients remain stable across a full estimation window without needing to specify when the break occurred. |
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