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| 강건 비선형 자기회귀 분산 시차 (Robust NARDL) 모형× | ARDL 경계 검정 (Pesaran 경계 검정)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 2014–2020s | 2001 |
| 창시자≠ | Extension of Shin, Yu & Greenwood-Nimmo (2014) NARDL framework with robust (outlier-resistant) estimation | Pesaran, Shin & Smith |
| 유형≠ | Nonlinear time-series regression with robust estimation | Cointegration test / Autoregressive distributed lag model |
| 원전≠ | Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In W. C. Horrace & R. C. Sickles (Eds.), Festschrift in Honor of Peter Schmidt (pp. 281–314). Springer. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ |
| 별칭 | Robust Nonlinear ARDL, Outlier-Robust NARDL, Robust Asymmetric ARDL, R-NARDL | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) |
| 관련≠ | 3 | 4 |
| 요약≠ | Robust NARDL marries the asymmetric cointegration framework of Shin, Yu, and Greenwood-Nimmo (2014) with outlier-resistant estimation. It decomposes a regressor into positive and negative partial sums, tests for asymmetric long-run relationships via a bounds test, and replaces the OLS criterion with an M- or MM-estimator to guard against leverage points and additive outliers common in macroeconomic and financial time series. | The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations. |
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