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| Chow-test för strukturellt brott× | CUSUM-test: Detektering av parameterinstabilitet i regressionsmodeller× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj≠ | Regression model | Hypothesis test |
| Ursprungsår≠ | 1960 | 1975 |
| Upphovsperson≠ | Gregory C. Chow | Brown, Durbin & Evans |
| Typ≠ | Test for structural break in regression coefficients | Recursive residual test |
| Ursprungskälla≠ | Chow, G. C. (1960). Tests of equality between sets of coefficients in two linear regressions. Econometrica, 28(3), 591–605. DOI ↗ | 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. DOI ↗ |
| Alias≠ | Chow breakpoint test, structural break test, Chow yapısal kırılma testi | Cumulative Sum Test, CUSUMSQ Test, Brown-Durbin-Evans Test, Kümülatif Toplam Testi |
| Närliggande≠ | 2 | 3 |
| Sammanfattning≠ | 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 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. |
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