Hypothesis testStructural break
CUSUM检验：检测回归模型中的参数不稳定性
CUSUM（累积和）和CUSUMSQ（累积平方和）检验由Brown、Durbin和Evans（1975）提出，用于评估线性回归模型的系数是否随时间保持不变。它们是计量经济学中用于检测时间序列数据结构性断裂、政策转变或状态改变的标准工具，且无需预先知道断裂发生的时间。
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来源
- 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: 10.1111/j.2517-6161.1975.tb01532.x ↗
如何引用本页
ScholarGate. (2026, June 2). CUSUM / CUSUMSQ Parameter-Stability Test. ScholarGate. https://scholargate.app/zh/econometrics/cusum-test
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