השוואת שיטות
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| רגרסיית כמותון-על-כמותון (QQ)× | מודל ARDL לא-לינארי (NARDL)× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 2015 | 2014 |
| הוגה השיטה≠ | Sim and Zhou | Shin, Yu & Greenwood-Nimmo |
| סוג≠ | Nonparametric quantile regression | Nonlinear cointegration model |
| מקור מכונן≠ | 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 ↗ | Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. C. Sickles & W. C. Horrace (Eds.), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications (pp. 281–314). Springer. link ↗ |
| כינויים | QQ regression, QQ approach, quantile-on-quantile approach, nonparametric quantile regression | NARDL, nonlinear bounds test, asymmetric ARDL, asymmetric cointegration model |
| קשורות≠ | 6 | 5 |
| תקציר≠ | 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. | The Nonlinear ARDL (NARDL) model extends the linear ARDL bounds-testing framework to allow asymmetric long-run and short-run relationships. By decomposing the regressor into cumulative positive and negative partial sums, it tests whether increases and decreases in a variable exert different effects on the outcome — a feature especially relevant in financial and energy economics where positive and negative shocks rarely cancel out symmetrically. |
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