Порівняння методів

	Крос-квантилограма	Крос-секційна NARDL	Квантильна АРДЛ
Галузь	Економетрика	Економетрика	Економетрика
Родина	Regression model	Regression model	Regression model
Рік появи	2012	2014	2006
Автор методу	Oliver Linton and Yoon-Jin Whang	Yongcheol Shin and colleagues	Roger Koenker and Zhijie Xiao
Тип	Correlation measure	Asymmetric panel model	Conditional distribution model
Основоположне джерело	Linton, O., & Whang, Y. J. (2012). Quantile comparisons of time series data. Journal of Econometrics, 170(2), 242-257.	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.	Koenker, R., & Xiao, Z. (2006). Quantile autoregression. Journal of the American Statistical Association, 101(475), 980-990.
Інші назви	—	NARDL panel	Quantile ARDL
Пов'язані	3	3	3
Підсумок	The cross-quantilogram extends the cross-correlogram concept to quantile pairs of two time series, measuring dependence at different quantile levels. Introduced by Linton and Whang (2012), it captures how shocks at specific quantile levels in one series relate to movements in another, enabling asymmetric dependence analysis. This approach is particularly valuable when downside and upside risk correlations differ materially.	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.	QARDL (Quantile Autoregressive Distributed Lag) combines quantile regression with ARDL modeling to estimate conditional relationships at different points of the distribution, revealing heterogeneous short-run and long-run effects. Introduced by Koenker and Xiao (2006) and refined by Cho et al. (2015), it captures how the effect of explanatory variables on outcomes varies across quantiles, essential for understanding tail behavior and distributional impacts rather than just mean effects.