Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Test ARDL s mezemi časově proměnných parametrů× | ARDL Bounds Test (Pesaran Bounds Test)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 2010s | 2001 |
| Tvůrce≠ | Extension of Pesaran, Shin & Smith (2001); TVP variant developed in applied time-series literature ca. 2010s | Pesaran, Shin & Smith |
| Typ≠ | Cointegration / bounds test with time-varying coefficients | Cointegration test / Autoregressive distributed lag model |
| Původní zdroj | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ |
| Další názvy | TVP-ARDL bounds test, time-varying ARDL cointegration, TVP bounds testing approach, dynamic ARDL bounds test | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) |
| Příbuzné≠ | 2 | 4 |
| Shrnutí≠ | The time-varying parameter ARDL bounds test extends the classic Pesaran-Shin-Smith (2001) bounds testing framework by allowing regression coefficients to evolve continuously over time. It detects whether a long-run cointegrating relationship between variables exists and whether that relationship has been stable or shifting across the sample period. | The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations. |
| ScholarGateDatová sada ↗ |
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