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| 横截面NARDL× | 局部投影× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2014 | 2005 |
| 提出者≠ | Yongcheol Shin and colleagues | Oscar Jorda |
| 类型≠ | Asymmetric panel model | Multi-horizon regression |
| 开创性文献≠ | 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. link ↗ | Jorda, O. (2005). Estimation and inference of impulse responses by local projections. American Economic Review, 95(1), 161-182. DOI ↗ |
| 别名≠ | NARDL panel | LP-IR, Multi-horizon regression |
| 相关 | 3 | 3 |
| 摘要≠ | 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. | Local Projections (LP) is a semi-parametric method for estimating impulse responses directly via multi-horizon regressions, bypassing VAR-model specification. Introduced by Jorda (2005), it projects outcomes h periods ahead onto current shocks and lags, producing impulse-response functions without assuming a particular lag structure or VAR order. This flexibility has made it the dominant approach in applied macroeconomics for measuring policy effects and shock transmission. |
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