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| Uji Batas ARDL (Uji Batas Pesaran)× | Regresi Ambang Batas× | |
|---|---|---|
| Bidang | Ekonometrika | Ekonometrika |
| Keluarga | Regression model | Regression model |
| Tahun asal≠ | 2001 | 2000 |
| Pencetus≠ | Pesaran, Shin & Smith | Bruce E. Hansen |
| Tipe≠ | Cointegration test / Autoregressive distributed lag model | Nonlinear regime-switching regression |
| Sumber perintis≠ | 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 ↗ | Hansen, B. E. (2000). Sample Splitting and Threshold Estimation. Econometrica, 68(3), 575-603. DOI ↗ |
| Alias | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) | threshold model, regime-switching regression, sample splitting model, Eşik Değer Regresyonu (Threshold Regression) |
| Terkait≠ | 4 | 5 |
| Ringkasan≠ | 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. | 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. |
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