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| 비선형 벡터 자기회귀 모형 (Nonlinear VAR Model)× | 비선형 ARDL(NARDL) 모형× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1990s–2000s | 2014 |
| 창시자≠ | Tsay (1998); Krolzig (1997); Tong (1990) for threshold framework | Shin, Yu & Greenwood-Nimmo |
| 유형≠ | Multivariate nonlinear time series model | Nonlinear cointegration model |
| 원전≠ | Tsay, R. S. (1998). Testing and modeling multivariate threshold models. Journal of the American Statistical Association, 93(443), 1188–1202. 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 | NLVAR, nonlinear vector autoregression, threshold VAR, TVAR | NARDL, nonlinear bounds test, asymmetric ARDL, asymmetric cointegration model |
| 관련≠ | 4 | 5 |
| 요약≠ | The Nonlinear VAR (NLVAR) model extends the standard vector autoregression by allowing the dynamic relationships among multiple time series to switch or change smoothly depending on an observed threshold variable, a latent regime state, or a smooth transition function. It is used when economic systems exhibit asymmetric responses, regime shifts, or state-dependent dynamics that a linear VAR cannot capture. | 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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