线性回归模型参数稳定性的Quandt-Andrews检验法

Quandt-Andrews Method for Linear Regression Model Parameters Stability Test

探讨了线性回归模型中经常被忽略的一种检验—模型参数稳定性检验,介绍了一种未被经常使用的基于Chow检验的Quandt-Andrews稳定性检验法,并通过模拟序列进行了对比分析,得出了Quandt-Andrews检验虽然是基于Chow检验,却是比Chow检验具有更高的效度的结论。

We discuss a kind of model parameters stability testing method for linear regression model which often neglected and introduce a model parameters stability test less frequently used -- quandt- andrews stability test which based on the most common Chow test. Then, we do a comparative analysis to a simulate sequence and draw a conclusion that quandt-andrews test has a higher efficiency.