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Linganisha mbinu

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Uchanganuzi wa Regresheni ya Kiasi cha Fourier-juu-ya-Kiasi×Regresheni ya Paneli ya Kiasi-juu-Kiasi×
NyanjaEkonometrikiEkonometriki
FamiliaRegression modelRegression model
Mwaka wa asili2015-2020s2015 (QQ); panel applications from ~2018
MwanzilishiExtension combining Sim & Zhou (2015) QQ regression with Fourier flexible-form smoothingSim and Zhou (cross-section QQ); panel extension in applied energy/finance econometrics
AinaNonparametric quantile regression with Fourier smoothingNonparametric quantile regression
Chanzo asiliaSim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and 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 ↗
Majina mbadalaFourier QQ regression, Fourier-QQR, Fourier quantile regression with quantile regressors, smooth structural-break QQ regressionPanel QQ regression, panel QQ approach, panel quantile-on-quantile approach, PQQ regression
Zinazohusiana66
MuhtasariFourier 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.Panel quantile-on-quantile (QQ) regression jointly maps any quantile of the outcome distribution onto any quantile of the predictor distribution across multiple cross-sectional units observed over time. It generalises Sim and Zhou's (2015) cross-sectional QQ framework to a panel setting, revealing a full dependence surface rather than a single average effect, while accounting for individual heterogeneity through fixed or random effects correction.
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  1. v1
  2. 2 Vyanzo
  3. PUBLISHED

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ScholarGateLinganisha mbinu: Fourier Quantile-on-Quantile Regression · Panel Quantile-on-Quantile Regression. Imepatikana 2026-06-18 kutoka https://scholargate.app/sw/compare