Сравнение методов

	Взвешенное МНК с коррекцией на структурные сдвиги (Structural Break WLS)	Structural Break GLS
Область	Эконометрика	Эконометрика
Семейство	Regression model	Regression model
Год появления	1998 (break framework); WLS long-established	1998 (structural break GLS formalization)
Автор метода	Bai & Perron (structural break framework); WLS classical	Bai & Perron (1998); GLS framework by Aitken (1936)
Тип	Weighted regression with regime shifts	Regression estimator
Основополагающий источник	Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47-78.	Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78.
Другие названия	WLS with structural change, break-corrected WLS, segmented WLS, structural break weighted regression	GLS with structural breaks, break-adjusted GLS, structural change GLS, regime-switching GLS
Связанные	5	6
Сводка	Structural Break WLS combines Weighted Least Squares estimation with explicit detection and correction for structural breaks — abrupt regime shifts — in the data. By identifying break points and assigning observation-level weights that account for heteroscedasticity within and across regimes, the estimator delivers consistent, efficient coefficient estimates even when the error variance changes dramatically at a break.	Structural Break GLS combines Generalized Least Squares estimation with explicit allowance for regime shifts in the data-generating process. The method estimates separate coefficient vectors for each segment defined by detected break dates while correcting for non-spherical errors — heteroscedasticity or autocorrelation — that frequently accompany structural change, yielding consistent and efficient estimates across all regimes.