手法を比較
選択した手法を並べて確認できます。異なる行はハイライト表示されます。
| 非線形ヨハンセン共和分検定× | 非線形ARDL (NARDL) モデル× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 2001 | 2014 |
| 提唱者≠ | Breitung (2001), building on Johansen (1988, 1991) | Shin, Yu & Greenwood-Nimmo |
| 種類≠ | Nonparametric rank-based cointegration test | Nonlinear cointegration model |
| 原典≠ | Breitung, J. (2001). Rank tests for nonlinear cointegration. Journal of Business and Economic Statistics, 19(3), 331-340. 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 ↗ |
| 別名 | nonlinear cointegration test, threshold Johansen cointegration, rank test for nonlinear cointegration, nonlinear VECM cointegration | NARDL, nonlinear bounds test, asymmetric ARDL, asymmetric cointegration model |
| 関連≠ | 3 | 5 |
| 概要≠ | Nonlinear Johansen cointegration extends the classical Johansen framework to detect long-run equilibrium relationships among integrated time series when the adjustment process is nonlinear. Using rank-based transformations, the approach tests for cointegration without assuming a linear error-correction mechanism, making it suitable for economic relationships characterized by asymmetric or threshold dynamics. | 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. |
| ScholarGateデータセット ↗ |
|
|