手法を比較

	クロスセクショナルNARDL	局所射影法
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	2014	2005
提唱者	Yongcheol Shin and colleagues	Oscar Jorda
種類	Asymmetric panel model	Multi-horizon regression
原典	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.	Jorda, O. (2005). Estimation and inference of impulse responses by local projections. American Economic Review, 95(1), 161-182.
別名	NARDL panel	LP-IR, Multi-horizon regression
関連	3	3
概要	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.	Local Projections (LP) is a semi-parametric method for estimating impulse responses directly via multi-horizon regressions, bypassing VAR-model specification. Introduced by Jorda (2005), it projects outcomes h periods ahead onto current shocks and lags, producing impulse-response functions without assuming a particular lag structure or VAR order. This flexibility has made it the dominant approach in applied macroeconomics for measuring policy effects and shock transmission.