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| 푸리에 분위수-분위수 회귀× | 비선형 ARDL(NARDL) 모형× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 2015-2020s | 2014 |
| 창시자≠ | Extension combining Sim & Zhou (2015) QQ regression with Fourier flexible-form smoothing | Shin, Yu & Greenwood-Nimmo |
| 유형≠ | Nonparametric quantile regression with Fourier smoothing | Nonlinear cointegration model |
| 원전≠ | Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and Finance, 55, 1-8. 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 ↗ |
| 별칭 | Fourier QQ regression, Fourier-QQR, Fourier quantile regression with quantile regressors, smooth structural-break QQ regression | NARDL, nonlinear bounds test, asymmetric ARDL, asymmetric cointegration model |
| 관련≠ | 6 | 5 |
| 요약≠ | Fourier quantile-on-quantile regression extends the quantile-on-quantile (QQ) framework of Sim and Zhou (2015) by embedding Fourier trigonometric terms into the local linear quantile model. This allows the estimated dependence between the quantiles of one variable and the quantiles of another to vary smoothly over time, capturing gradual structural change without imposing a known break date. | 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. |
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