Methoden vergleichen

	Bayesian Quantile-on-Quantile Regression	Nichtlineares ARDL (NARDL)-Modell
Fachgebiet	Ökonometrie	Ökonometrie
Familie	Regression model	Regression model
Entstehungsjahr	2015–2019	2014
Urheber	Bayesian QQ framework combines Sim & Zhou (2015) QQ regression with Bayesian quantile regression (Yu & Moyeed, 2001)	Shin, Yu & Greenwood-Nimmo
Typ	Nonparametric quantile regression with Bayesian estimation	Nonlinear cointegration model
Wegweisende Quelle	Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and Finance, 55, 1–8.	Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. C. Sickles & W. C. Horrace (Eds.), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications (pp. 281–314). Springer.
Aliasnamen	Bayesian QQR, Bayesian QQ regression, Bayes quantile-on-quantile, BQQ regression	NARDL, nonlinear bounds test, asymmetric ARDL, asymmetric cointegration model
Verwandt	6	5
Zusammenfassung	Bayesian Quantile-on-Quantile (BQQ) Regression extends the Sim-Zhou quantile-on-quantile framework by replacing frequentist local linear estimation with Bayesian posterior inference. For each pair of quantiles (theta of the outcome, tau of the predictor), the method yields a full posterior distribution over the slope, enabling uncertainty quantification across the entire bivariate quantile surface — a key advantage when sample sizes are moderate and tail quantiles are sparse.	The Nonlinear ARDL (NARDL) model extends the linear ARDL bounds-testing framework to allow asymmetric long-run and short-run relationships. By decomposing the regressor into cumulative positive and negative partial sums, it tests whether increases and decreases in a variable exert different effects on the outcome — a feature especially relevant in financial and energy economics where positive and negative shocks rarely cancel out symmetrically.