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| Regresia s prahovou hodnotou× | Nelineárny autoregresný distribuovaný lag (NARDL) model× | |
|---|---|---|
| Odbor | Ekonometria | Ekonometria |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 2000 | 2014 |
| Tvorca≠ | Bruce E. Hansen | Shin, Yu & Greenwood-Nimmo |
| Typ≠ | Nonlinear regime-switching regression | Asymmetric cointegration / error-correction model |
| Pôvodný zdroj≠ | Hansen, B. E. (2000). Sample Splitting and Threshold Estimation. Econometrica, 68(3), 575-603. DOI ↗ | Shin, Y., Yu, B. & Greenwood-Nimmo, M. (2014). Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. In: Sickles, R. & Horrace, W. (Eds.), Festschrift in Honor of Peter Schmidt. Springer. DOI ↗ |
| Ďalšie názvy≠ | threshold model, regime-switching regression, sample splitting model, Eşik Değer Regresyonu (Threshold Regression) | nonlinear ARDL, asymmetric ARDL, Doğrusal Olmayan ARDL (NARDL) |
| Príbuzné≠ | 5 | 4 |
| Zhrnutie≠ | Threshold regression is a nonlinear, regime-switching model in which the regression parameters take different values above and below an estimated threshold value of a threshold variable. The sample-splitting and threshold-estimation framework was developed by Bruce E. Hansen (2000) and is widely used for time-series and panel data with structural breaks and regime-dependent relationships. | The NARDL model, introduced by Shin, Yu and Greenwood-Nimmo in 2014, extends the ARDL framework to capture asymmetric long-run and short-run relationships, testing whether positive and negative changes in a regressor affect the dependent variable differently. |
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