Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Kvantiiil-kvantiil-regressioon (QQ-regressioon)× | Vektorautoregressioon (VAR)× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 2015 | 1980 |
| Looja≠ | Sim and Zhou | Christopher A. Sims |
| Tüüp≠ | Nonparametric quantile regression | Multivariate time-series model |
| Algallikas≠ | Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and Finance, 55, 1-8. DOI ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Rööpnimetused | QQ regression, QQ approach, quantile-on-quantile approach, nonparametric quantile regression | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Seotud≠ | 6 | 5 |
| Kokkuvõte≠ | Quantile-on-quantile regression is a nonparametric technique that estimates how the quantiles of one variable depend on the quantiles of another. By combining standard quantile regression with local linear smoothing, it produces a full two-dimensional surface of slope coefficients indexed by both the quantile of the outcome and the quantile of the predictor, revealing heterogeneous and asymmetric dependency structures invisible to standard regression. | Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance. |
| ScholarGateAndmestik ↗ |
|
|