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| Παλινδρόμηση Ποσοστημορίων× | Μοντέλο Ομαλής Μετάβασης Αυτοπαλίνδρομης Συσχέτισης (STAR)× | |
|---|---|---|
| Πεδίο | Οικονομετρία | Οικονομετρία |
| Οικογένεια | Regression model | Regression model |
| Έτος προέλευσης≠ | 1978 | 1994 |
| Δημιουργός≠ | Koenker & Bassett | Teräsvirta (1994); van Dijk, Teräsvirta & Franses (2002) |
| Τύπος≠ | Conditional quantile regression | Nonlinear time-series regime-switching model |
| Θεμελιώδης πηγή≠ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ | Teräsvirta, T. (1994). Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models. Journal of the American Statistical Association, 89(425), 208–218. DOI ↗ |
| Εναλλακτικές ονομασίες≠ | conditional quantile regression, regression quantiles, Kantil Regresyon | smooth transition autoregressive model, LSTAR, ESTAR, logistic STAR |
| Συναφείς≠ | 5 | 4 |
| Σύνοψη≠ | 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. | The Smooth Transition Autoregressive (STAR) model is a nonlinear time-series model, developed in Teräsvirta's 1994 framework, that lets the dynamics move smoothly rather than abruptly between two regimes. The logistic variant (LSTAR) captures asymmetric business cycles and the exponential variant (ESTAR) captures purchasing-power-parity deviations. |
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