Regression modelEconometrics / time series
结构突变自回归模型
结构突变自回归（AR）模型通过允许截距和自回归系数在一个或多个未知突变日期发生变化，扩展了标准自回归框架。连续突变点之间的每个区间都由其自身的AR参数控制，从而捕捉由危机、政策转变或其他冲击引起的时间序列动态的突然变化。
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来源
- Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1-22. DOI: 10.1002/jae.659 ↗
- Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401. DOI: 10.2307/1913712 ↗
如何引用本页
ScholarGate. (2026, June 3). Autoregressive Model with Structural Breaks. ScholarGate. https://scholargate.app/zh/econometrics/structural-break-ar-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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