Regression modelEconometrics / time series
结构断裂OLS
结构断裂OLS将普通最小二乘法扩展到允许回归系数在时间上的一个或多个断裂点或跨制度发生变化。该模型不对整个样本强制使用单一系数向量，而是将数据分区，并在每个段内估计一个单独的OLS回归，当经济关系因政策变动、危机或其他结构性事件而发生变化时，该模型是适用的。
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来源
- Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI: 10.2307/2998540 ↗
- Chow, G. C. (1960). Tests of equality between sets of coefficients in two linear regressions. Econometrica, 28(3), 591–605. DOI: 10.2307/1910133 ↗
如何引用本页
ScholarGate. (2026, June 3). Ordinary Least Squares Regression with Structural Breaks. ScholarGate. https://scholargate.app/zh/econometrics/structural-break-ols
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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