Methoden vergelijken
Bekijk de geselecteerde methoden naast elkaar; rijen die verschillen zijn gemarkeerd.
| Cross-Quantilogram× | Method of Moments Quantile Regression× | |
|---|---|---|
| Vakgebied | Econometrie | Econometrie |
| Familie | Regression model | Regression model |
| Jaar van ontstaan≠ | 2012 | 2004 |
| Grondlegger≠ | Oliver Linton and Yoon-Jin Whang | Roger Koenker and colleagues |
| Type≠ | Correlation measure | Distribution regression |
| Oorspronkelijke bron≠ | Linton, O., & Whang, Y. J. (2012). Quantile comparisons of time series data. Journal of Econometrics, 170(2), 242-257. link ↗ | Koenker, R. (2004). Quantile regression for longitudinal data. Journal of Multivariate Analysis, 91(1), 74-89. DOI ↗ |
| Aliassen≠ | — | GMM quantile regression |
| Verwant | 3 | 3 |
| Samenvatting≠ | The cross-quantilogram extends the cross-correlogram concept to quantile pairs of two time series, measuring dependence at different quantile levels. Introduced by Linton and Whang (2012), it captures how shocks at specific quantile levels in one series relate to movements in another, enabling asymmetric dependence analysis. This approach is particularly valuable when downside and upside risk correlations differ materially. | Method of Moments Quantile Regression combines moment-based estimation (GMM) with quantile regression to estimate distribution parameters while handling endogeneity, panel structure, and dynamic relationships. Introduced by Koenker (2004) and developed by Machado and Mata (2005), it enables distributional analysis (not just mean regression) in complex settings like dynamic panels and instrumental-variable contexts. This approach is powerful for understanding heterogeneity in treatment effects and policy impacts. |
| ScholarGateGegevensset ↗ |
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