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Time-varying parameter NARDL/Evidence
Method evidence record

Time-varying parameter NARDL

The Time-Varying Parameter NARDL (TVP-NARDL) model extends the Nonlinear ARDL framework by allowing the coefficients on positive and negative partial sums of a regressor to change over time. This combination captures both asymmetric responses and structural instability in long-run and short-run relationships within a single cointegrating specification.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Time-Varying Parameter Nonlinear Autoregressive Distributed Lag Model
Taxonomic method record · regression-model / econometrics
  • Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In W. Horrace & R. Sickles (Eds.), Festschrift in Honor of Peter Schmidt (pp. 281–314). Springer. · URL
  • Bagnai, A., & Ospina-Rojas, C. A. (2019). Time-varying generalisations of the NARDL model. Economics Letters, 177, 73–76. · URL
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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyARDL Bounds Testmachine-suggested · Relational suggestion, not evidence.Same method familyNARDL Modelmachine-suggested · Relational suggestion, not evidence.Same method familyThreshold Regressionmachine-suggested · Relational suggestion, not evidence.

Evidence status

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Sources

2 recorded citations, copied from the method source record.

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