方法证据记录
Structural Break GLS
Structural Break GLS combines Generalized Least Squares estimation with explicit allowance for regime shifts in the data-generating process. The method estimates separate coefficient vectors for each segment defined by detected break dates while correcting for non-spherical errors — heteroscedasticity or autocorrelation — that frequently accompany structural change, yielding consistent and efficient estimates across all regimes.
源记录
引文逐字复制自方法源记录。这些引文不代表任何层级的验证。
Generalized Least Squares with Structural Breaks
分类方法记录 · regression-model / econometrics
- Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. · DOI 10.2307/2998540
- Greene, W. H. (2012). Econometric Analysis (7th ed.). Prentice Hall. · ISBN 978-0131395381
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