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| Cross-Quantilogram× | NARDL a Sezione Trasversale× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 2012 | 2014 |
| Ideatore≠ | Oliver Linton and Yoon-Jin Whang | Yongcheol Shin and colleagues |
| Tipo≠ | Correlation measure | Asymmetric panel model |
| Fonte seminale≠ | Linton, O., & Whang, Y. J. (2012). Quantile comparisons of time series data. Journal of Econometrics, 170(2), 242-257. link ↗ | Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a system of nonlinear autoregressive distributed lag equations. Econometric Reviews, 33(1), 56-87. link ↗ |
| Alias≠ | — | NARDL panel |
| Correlati | 3 | 3 |
| Sintesi≠ | The cross-quantilogram extends the cross-correlogram concept to quantile pairs of two time series, measuring dependence at different quantile levels. Introduced by Linton and Whang (2012), it captures how shocks at specific quantile levels in one series relate to movements in another, enabling asymmetric dependence analysis. This approach is particularly valuable when downside and upside risk correlations differ materially. | CS-NARDL extends the nonlinear autoregressive distributed lag (NARDL) model to panel data, capturing asymmetric long-run and short-run relationships where positive and negative changes in explanatory variables have differential effects. Introduced by Shin et al. (2014) and adapted to panels, it allows studying how cross-sectional units respond differently to positive versus negative shocks while maintaining cointegrating relationships. This approach is essential for understanding economic asymmetries in commodity markets, monetary transmission, and labor markets. |
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