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| 非線形自己回帰分布ラグ (NARDL) モデル× | 分位点回帰× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 2014 | 1978 |
| 提唱者≠ | Shin, Yu & Greenwood-Nimmo | Koenker & Bassett |
| 種類≠ | Asymmetric cointegration / error-correction model | Conditional quantile regression |
| 原典≠ | Shin, Y., Yu, B. & Greenwood-Nimmo, M. (2014). Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. In: Sickles, R. & Horrace, W. (Eds.), Festschrift in Honor of Peter Schmidt. Springer. DOI ↗ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ |
| 別名 | nonlinear ARDL, asymmetric ARDL, Doğrusal Olmayan ARDL (NARDL) | conditional quantile regression, regression quantiles, Kantil Regresyon |
| 関連≠ | 4 | 5 |
| 概要≠ | The NARDL model, introduced by Shin, Yu and Greenwood-Nimmo in 2014, extends the ARDL framework to capture asymmetric long-run and short-run relationships, testing whether positive and negative changes in a regressor affect the dependent variable differently. | Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails. |
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