Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Regrese s prahovou hodnotou× | Kvantilová regrese× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 2000 | 1978 |
| Tvůrce≠ | Bruce E. Hansen | Koenker & Bassett |
| Typ≠ | Nonlinear regime-switching regression | Conditional quantile regression |
| Původní zdroj≠ | Hansen, B. E. (2000). Sample Splitting and Threshold Estimation. Econometrica, 68(3), 575-603. DOI ↗ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ |
| Další názvy≠ | threshold model, regime-switching regression, sample splitting model, Eşik Değer Regresyonu (Threshold Regression) | conditional quantile regression, regression quantiles, Kantil Regresyon |
| Příbuzné | 5 | 5 |
| Shrnutí≠ | 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. | 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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