Porównaj metody
Przeglądaj wybrane metody obok siebie; wiersze, które się różnią, są wyróżnione.
| NARDL z przerwami strukturalnymi× | Model korekcji błędem (VECM)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 2014–2018 | 1987 |
| Twórca≠ | Shin, Yu & Greenwood-Nimmo (NARDL base); structural break extensions by subsequent applied researchers | Robert F. Engle and Clive W. J. Granger |
| Typ≠ | Nonlinear cointegration with structural breaks | Multivariate time-series model |
| Źródło pierwotne≠ | 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 ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Inne nazwy | SB-NARDL, NARDL with structural breaks, nonlinear ARDL with break, asymmetric ARDL structural break | VECM, error correction VAR, cointegrated VAR, vector equilibrium correction model |
| Pokrewne≠ | 6 | 5 |
| Podsumowanie≠ | Structural Break NARDL extends the Nonlinear Autoregressive Distributed Lag (NARDL) bounds-testing framework by explicitly accommodating one or more structural breaks in the long-run relationship. It separates positive and negative changes in the regressor, tests for cointegration, and allows regime shifts, providing a richer picture of asymmetric and break-sensitive dynamics between variables. | The Vector Error Correction Model extends the Vector Autoregression (VAR) framework to a system of variables that share one or more long-run equilibrium relationships. It jointly models short-run dynamics and the speed at which each variable corrects back toward equilibrium after a shock, making it the standard tool for analysing cointegrated multivariate time series. |
| ScholarGateZbiór danych ↗ |
|
|