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| Regresja kwantylowa na kwantylach ze zmiennymi w czasie (TVP-QQ)× | Regresja kwantylowa na kwantylach (QQ)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 2015–2019 | 2015 |
| Twórca≠ | Extension of Sim & Zhou (2015) QQ framework; TVP adaptation by subsequent applied econometricians | Sim and Zhou |
| Typ≠ | Nonparametric time-varying quantile regression | Nonparametric quantile regression |
| Źródło pierwotne≠ | Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking & Finance, 55, 1–8. DOI ↗ | Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and Finance, 55, 1-8. DOI ↗ |
| Inne nazwy | TVP-QQ regression, time-varying QQ regression, dynamic quantile-on-quantile regression, TVP quantile-on-quantile | QQ regression, QQ approach, quantile-on-quantile approach, nonparametric quantile regression |
| Pokrewne≠ | 2 | 6 |
| Podsumowanie≠ | TVP-QQ regression extends the quantile-on-quantile (QQ) framework by allowing the slope coefficients to evolve over time. It maps how the quantiles of a predictor variable affect the quantiles of an outcome differently across the joint distribution and across different time periods, uncovering dynamic, heterogeneous dependence structures that standard regression cannot detect. | Quantile-on-quantile regression is a nonparametric technique that estimates how the quantiles of one variable depend on the quantiles of another. By combining standard quantile regression with local linear smoothing, it produces a full two-dimensional surface of slope coefficients indexed by both the quantile of the outcome and the quantile of the predictor, revealing heterogeneous and asymmetric dependency structures invisible to standard regression. |
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