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| Nieliniowy model autoregresywny z rozłożonym opóźnieniem (NARDL)× | Test granic ARDL (Pesaran Bounds Test)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 2014 | 2001 |
| Twórca≠ | Shin, Yu, and Greenwood-Nimmo | Pesaran, Shin & Smith |
| Typ≠ | Nonlinear cointegration model | Cointegration test / Autoregressive distributed lag model |
| Źródło pierwotne≠ | 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. 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 ↗ |
| Inne nazwy | NARDL, nonlinear ARDL, asymmetric ARDL, nonlinear bounds test | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) |
| Pokrewne | 4 | 4 |
| Podsumowanie≠ | The Nonlinear ARDL (NARDL) model extends the linear ARDL bounds-testing framework to allow asymmetric long-run and short-run relationships. By decomposing an explanatory variable into its positive and negative partial sums, it tests whether increases and decreases in a regressor have different effects on the dependent variable — a feature that linear cointegration methods cannot capture. | 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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