Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Regressão Quantílica pelo Método dos Momentos× | NARDL Transversal× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 2004 | 2014 |
| Autor original≠ | Roger Koenker and colleagues | Yongcheol Shin and colleagues |
| Tipo≠ | Distribution regression | Asymmetric panel model |
| Fonte seminal≠ | Koenker, R. (2004). Quantile regression for longitudinal data. Journal of Multivariate Analysis, 91(1), 74-89. DOI ↗ | Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a system of nonlinear autoregressive distributed lag equations. Econometric Reviews, 33(1), 56-87. link ↗ |
| Outros nomes | GMM quantile regression | NARDL panel |
| Relacionados | 3 | 3 |
| Resumo≠ | 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. | CS-NARDL extends the nonlinear autoregressive distributed lag (NARDL) model to panel data, capturing asymmetric long-run and short-run relationships where positive and negative changes in explanatory variables have differential effects. Introduced by Shin et al. (2014) and adapted to panels, it allows studying how cross-sectional units respond differently to positive versus negative shocks while maintaining cointegrating relationships. This approach is essential for understanding economic asymmetries in commodity markets, monetary transmission, and labor markets. |
| ScholarGateConjunto de dados ↗ |
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