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| Kointegrasi Engle-Granger Tak Linear× | Model ARDL Taklinear (NARDL)× | |
|---|---|---|
| Bidang | Ekonometrik | Ekonometrik |
| Keluarga | Regression model | Regression model |
| Tahun asal≠ | 1998-2006 | 2014 |
| Pengasas≠ | Kapetanios, Shin & Snell; Enders & Granger | Shin, Yu & Greenwood-Nimmo |
| Jenis≠ | Cointegration test | Nonlinear cointegration model |
| Sumber perintis≠ | Kapetanios, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279-303. 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 ↗ |
| Alias | nonlinear cointegration, threshold cointegration, KSS cointegration, ESTAR cointegration | NARDL, nonlinear bounds test, asymmetric ARDL, asymmetric cointegration model |
| Berkaitan≠ | 3 | 5 |
| Ringkasan≠ | Nonlinear Engle-Granger cointegration extends the classical two-step Engle-Granger procedure to detect long-run equilibria where adjustment toward the equilibrium is nonlinear — for example, faster above than below a threshold, or governed by a smooth transition mechanism. It is widely applied in financial economics, purchasing power parity tests, and commodity price analysis. | 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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