Compară metode
Examinează metodele selectate una lângă alta; rândurile care diferă sunt evidențiate.
| Regresia Cuantile-pe-Cuantile Fourier× | Regresia cuantilică× | |
|---|---|---|
| Domeniu | Econometrie | Econometrie |
| Familie | Regression model | Regression model |
| Anul apariției≠ | 2015-2020s | 1978 |
| Autorul original≠ | Extension combining Sim & Zhou (2015) QQ regression with Fourier flexible-form smoothing | Koenker & Bassett |
| Tip≠ | Nonparametric quantile regression with Fourier smoothing | Conditional quantile regression |
| Sursa seminală≠ | 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 ↗ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ |
| Denumiri alternative≠ | Fourier QQ regression, Fourier-QQR, Fourier quantile regression with quantile regressors, smooth structural-break QQ regression | conditional quantile regression, regression quantiles, Kantil Regresyon |
| Înrudite≠ | 6 | 5 |
| Rezumat≠ | Fourier quantile-on-quantile regression extends the quantile-on-quantile (QQ) framework of Sim and Zhou (2015) by embedding Fourier trigonometric terms into the local linear quantile model. This allows the estimated dependence between the quantiles of one variable and the quantiles of another to vary smoothly over time, capturing gradual structural change without imposing a known break date. | Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails. |
| ScholarGateSet de date ↗ |
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