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| Bayesovský NARDL: Nelineárny ARDL s Bayesovským odhadom× | Nelineárny ARDL (NARDL) model× | |
|---|---|---|
| Odbor | Ekonometria | Ekonometria |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 2014 (NARDL); Bayesian extension c. 2015–2020 | 2014 |
| Tvorca≠ | Shin, Yu & Greenwood-Nimmo (NARDL base); Bayesian extension developed in subsequent applied literature | Shin, Yu & Greenwood-Nimmo |
| Typ≠ | Nonlinear cointegrating model with Bayesian inference | Nonlinear cointegration model |
| Pôvodný zdroj≠ | 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: Econometric Methods and Applications (pp. 281–314). Springer. link ↗ | 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. link ↗ |
| Ďalšie názvy | Bayesian NARDL, Bayesian nonlinear ARDL, Bayesian asymmetric ARDL, B-NARDL | NARDL, nonlinear bounds test, asymmetric ARDL, asymmetric cointegration model |
| Príbuzné≠ | 6 | 5 |
| Zhrnutie≠ | Bayesian NARDL combines the Nonlinear Autoregressive Distributed Lag framework of Shin, Yu, and Greenwood-Nimmo (2014) with Bayesian posterior inference. It models asymmetric long-run cointegration — allowing positive and negative shocks to a regressor to have different equilibrium effects — while incorporating prior knowledge and producing full posterior distributions over all parameters, including the asymmetry gap. | The Nonlinear ARDL (NARDL) model extends the linear ARDL bounds-testing framework to allow asymmetric long-run and short-run relationships. By decomposing the regressor into cumulative positive and negative partial sums, it tests whether increases and decreases in a variable exert different effects on the outcome — a feature especially relevant in financial and energy economics where positive and negative shocks rarely cancel out symmetrically. |
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