Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Модель стійкої нелінійної авторегресійної розподіленої затримки (Robust NARDL)× | Тест меж ARDL (Тест меж Pesaran)× | Регресія звичайно найменших квадратів (ЗНК)× | |
|---|---|---|---|
| Галузь | Економетрика | Економетрика | Економетрика |
| Родина | Regression model | Regression model | Regression model |
| Рік появи≠ | 2014–2020s | 2001 | 2019 |
| Автор методу≠ | Extension of Shin, Yu & Greenwood-Nimmo (2014) NARDL framework with robust (outlier-resistant) estimation | Pesaran, Shin & Smith | Wooldridge (textbook treatment); classical least squares |
| Тип≠ | Nonlinear time-series regression with robust estimation | Cointegration test / Autoregressive distributed lag model | Linear regression |
| Основоположне джерело≠ | 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 (pp. 281–314). Springer. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| Інші назви | Robust Nonlinear ARDL, Outlier-Robust NARDL, Robust Asymmetric ARDL, R-NARDL | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| Пов'язані≠ | 3 | 4 | 5 |
| Підсумок≠ | Robust NARDL marries the asymmetric cointegration framework of Shin, Yu, and Greenwood-Nimmo (2014) with outlier-resistant estimation. It decomposes a regressor into positive and negative partial sums, tests for asymmetric long-run relationships via a bounds test, and replaces the OLS criterion with an M- or MM-estimator to guard against leverage points and additive outliers common in macroeconomic and financial time series. | The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
| ScholarGateНабір даних ↗ |
|
|
|