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Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Régression à seuil× | Test des bornes ARDL (Test des bornes de Pesaran)× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2000 | 2001 |
| Auteur d'origine≠ | Bruce E. Hansen | Pesaran, Shin & Smith |
| Type≠ | Nonlinear regime-switching regression | Cointegration test / Autoregressive distributed lag model |
| Source fondatrice≠ | Hansen, B. E. (2000). Sample Splitting and Threshold Estimation. Econometrica, 68(3), 575-603. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ |
| Alias | threshold model, regime-switching regression, sample splitting model, Eşik Değer Regresyonu (Threshold Regression) | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) |
| Apparentées≠ | 5 | 4 |
| Résumé≠ | Threshold regression is a nonlinear, regime-switching model in which the regression parameters take different values above and below an estimated threshold value of a threshold variable. The sample-splitting and threshold-estimation framework was developed by Bruce E. Hansen (2000) and is widely used for time-series and panel data with structural breaks and regime-dependent relationships. | The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations. |
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