Vertaile menetelmiä
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| Paneelisileäsiirtymäregressio× | Kynnyspaneeli VAR× | |
|---|---|---|
| Tieteenala | Ekonometria | Ekonometria |
| Menetelmäperhe | Regression model | Regression model |
| Syntyvuosi≠ | 2005 | 1996 |
| Kehittäjä≠ | Gonzalez, Terasvirta, and van Dijk | Bruce Hansen and colleagues |
| Tyyppi≠ | Smooth-regime panel model | Nonlinear panel model |
| Alkuperäislähde≠ | Gonzalez, A., Terasvirta, T., & van Dijk, D. (2005). Panel smooth transition regression models. Research Paper, Melbourne Institute of Applied Economic and Social Research. link ↗ | Hansen, B. E. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometric Theory, 12(3), 386-414. DOI ↗ |
| Rinnakkaisnimet | Smooth-transition panel model | Panel-VAR with regime switching |
| Liittyvät | 3 | 3 |
| Tiivistelmä≠ | Panel Smooth Transition Regression (PSTR) models nonlinear panel relationships where coefficients transition smoothly (rather than abruptly) between regimes as a transition variable crosses thresholds. Introduced by Gonzalez et al. (2005), it extends univariate smooth-transition autoregression (STAR) models to panels, capturing gradual shifts in economic behavior. This approach is realistic when adjustment costs cause smooth (not sudden) regime changes. | The Threshold Panel VAR extends the standard vector autoregression framework to accommodate regime-switching behavior where relationships change when a threshold variable crosses a critical level. Introduced by Hansen (1996) and applied to panels by Caner and Hansen (2001), it allows different dynamic relationships across regimes (e.g., expansions versus recessions) while exploiting the cross-sectional dimension of panel data. This nonlinear framework captures state-dependent policy effects and economic mechanisms. |
| ScholarGateAineisto ↗ |
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