Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Fourieho regresní analýza kvantilů na kvantilech× | Kvantilová regrese× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 2015-2020s | 1978 |
| Tvůrce≠ | Extension combining Sim & Zhou (2015) QQ regression with Fourier flexible-form smoothing | Koenker & Bassett |
| Typ≠ | Nonparametric quantile regression with Fourier smoothing | Conditional quantile regression |
| Původní zdroj≠ | Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and Finance, 55, 1-8. DOI ↗ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ |
| Další názvy≠ | Fourier QQ regression, Fourier-QQR, Fourier quantile regression with quantile regressors, smooth structural-break QQ regression | conditional quantile regression, regression quantiles, Kantil Regresyon |
| Příbuzné≠ | 6 | 5 |
| Shrnutí≠ | Fourier quantile-on-quantile regression extends the quantile-on-quantile (QQ) framework of Sim and Zhou (2015) by embedding Fourier trigonometric terms into the local linear quantile model. This allows the estimated dependence between the quantiles of one variable and the quantiles of another to vary smoothly over time, capturing gradual structural change without imposing a known break date. | Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails. |
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