线性回归模型结构稳定性检验的实证分析

Empirical Analysis of Linear Regression Model Structural Stability Test

线性回归模型分析时间序列数据可能出现模型结构稳定性的问题.在线性回归模型结构稳定性Chow检验方法的基础上探讨了Quandt-Andrews检验,并通过模拟序列,利用Eviews 8.0软件对两种检验方法进行了实证对比分析.研究发现,Quandt-Andrews检验具有较高的检验效度.

Linear regression model analysis of time series data may present the problem of structural stability of the model. Based on the Chow test method of linear regression model,the Quandt-Andrews test was explored,and the Eviews 8. 0 software was used to simulate the two methods. The Quandt-Andrews test was found to have higher test validity.