Regression modelEconometrics / time series
结构性断裂MA模型
一种移动平均（MA）时间序列模型，经过扩充以适应一个或多个结构性断裂——即在已知或未知断裂日期发生的均值、方差或MA系数的突然变化。忽略MA过程中的结构性断裂会夸大预测误差并扭曲对误差动态的推断。
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来源
- Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361–1401. DOI: 10.2307/1913712 ↗
- Zivot, E., & Andrews, D. W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251–270. DOI: 10.1080/07350015.1992.10509904 ↗
如何引用本页
ScholarGate. (2026, June 3). Moving Average Model with Structural Breaks. ScholarGate. https://scholargate.app/zh/econometrics/structural-break-ma-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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- 结构断点 ARIMA 模型计量经济学↔ compare
- Zivot-Andrews 结构性断点检验计量经济学↔ compare