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Model Autoregresif Peralihan Licin (STAR)×Vector Autoregresi Panel (Panel VAR)×Regresi Kuantil×
BidangEkonometrikEkonometrikEkonometrik
KeluargaRegression modelRegression modelRegression model
Tahun asal199419881978
PengasasTeräsvirta (1994); van Dijk, Teräsvirta & Franses (2002)Holtz-Eakin, Newey & RosenKoenker & Bassett
JenisNonlinear time-series regime-switching modelPanel vector autoregressionConditional quantile regression
Sumber perintisTeräsvirta, T. (1994). Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models. Journal of the American Statistical Association, 89(425), 208–218. DOI ↗Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI ↗Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗
Aliassmooth transition autoregressive model, LSTAR, ESTAR, logistic STARPVAR, panel vector autoregression, Panel VAR (PVAR)conditional quantile regression, regression quantiles, Kantil Regresyon
Berkaitan435
RingkasanThe Smooth Transition Autoregressive (STAR) model is a nonlinear time-series model, developed in Teräsvirta's 1994 framework, that lets the dynamics move smoothly rather than abruptly between two regimes. The logistic variant (LSTAR) captures asymmetric business cycles and the exponential variant (ESTAR) captures purchasing-power-parity deviations.Panel VAR extends the vector autoregression model to panel data, modelling the dynamic interactions among several variables while controlling for cross-unit heterogeneity through fixed effects. It was introduced by Holtz-Eakin, Newey and Rosen in 1988 and produces impulse-response functions and variance decompositions at the panel level.Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails.
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ScholarGateBandingkan kaedah: STAR Model · Panel VAR · Quantile Regression. Dicapai 2026-06-18 daripada https://scholargate.app/ms/compare