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| Παλινδρόμηση Ποσοστημορίων σε Ποσοστημόρια με Δομικό Διάλειμμα× | Παλινδρόμηση Ποσοστημορίων× | |
|---|---|---|
| Πεδίο | Οικονομετρία | Οικονομετρία |
| Οικογένεια | Regression model | Regression model |
| Έτος προέλευσης≠ | 2015-2020s | 1978 |
| Δημιουργός≠ | Extension combining Sim & Zhou (2015) QQR framework with Bai-Perron structural break methodology | Koenker & Bassett |
| Τύπος≠ | Nonparametric quantile regression with structural breaks | Conditional quantile regression |
| Θεμελιώδης πηγή≠ | Sim, N., and Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and Finance, 55, 1-8. DOI ↗ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ |
| Εναλλακτικές ονομασίες≠ | SB-QQR, structural-break QQ regression, quantile-on-quantile with structural breaks, QQR with regime shifts | conditional quantile regression, regression quantiles, Kantil Regresyon |
| Συναφείς≠ | 6 | 5 |
| Σύνοψη≠ | Structural Break Quantile-on-Quantile Regression (SB-QQR) extends the quantile-on-quantile framework of Sim and Zhou (2015) by allowing regression slopes to differ across regimes separated by structural breaks. It maps how the effect of a predictor's quantile on an outcome's quantile changes not only across the full distributional space but also across distinct historical periods or policy regimes. | 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. |
| ScholarGateΣύνολο δεδομένων ↗ |
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