Porovnat metody
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| Model nelineární autoregresní distribuované zpoždění (NARDL)× | Regrese s prahovou hodnotou× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 2014 | 2000 |
| Tvůrce≠ | Shin, Yu & Greenwood-Nimmo | Bruce E. Hansen |
| Typ≠ | Asymmetric cointegration / error-correction model | Nonlinear regime-switching regression |
| Původní zdroj≠ | Shin, Y., Yu, B. & Greenwood-Nimmo, M. (2014). Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. In: Sickles, R. & Horrace, W. (Eds.), Festschrift in Honor of Peter Schmidt. Springer. DOI ↗ | Hansen, B. E. (2000). Sample Splitting and Threshold Estimation. Econometrica, 68(3), 575-603. DOI ↗ |
| Další názvy≠ | nonlinear ARDL, asymmetric ARDL, Doğrusal Olmayan ARDL (NARDL) | threshold model, regime-switching regression, sample splitting model, Eşik Değer Regresyonu (Threshold Regression) |
| Příbuzné≠ | 4 | 5 |
| Shrnutí≠ | The NARDL model, introduced by Shin, Yu and Greenwood-Nimmo in 2014, extends the ARDL framework to capture asymmetric long-run and short-run relationships, testing whether positive and negative changes in a regressor affect the dependent variable differently. | Threshold regression is a nonlinear, regime-switching model in which the regression parameters take different values above and below an estimated threshold value of a threshold variable. The sample-splitting and threshold-estimation framework was developed by Bruce E. Hansen (2000) and is widely used for time-series and panel data with structural breaks and regime-dependent relationships. |
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