方法对比

	Quantile VAR	Cross-Quantilogram	矩估计分位数回归
领域	计量经济学	计量经济学	计量经济学
方法族	Regression model	Regression model	Regression model
起源年份	2006	2012	2004
提出者	Koenker and Xiao	Oliver Linton and Yoon-Jin Whang	Roger Koenker and colleagues
类型	Distribution impulse response	Correlation measure	Distribution regression
开创性文献	Koenker, R., & Xiao, Z. (2006). Quantile autoregression. Journal of the American Statistical Association, 101(475), 980-990.	Linton, O., & Whang, Y. J. (2012). Quantile comparisons of time series data. Journal of Econometrics, 170(2), 242-257.	Koenker, R. (2004). Quantile regression for longitudinal data. Journal of Multivariate Analysis, 91(1), 74-89.
别名	Quantile-based impulse response	—	GMM quantile regression
相关	3	3	3
摘要	Quantile VAR estimates impulse responses of multivariate systems conditional on different quantiles of the distribution, revealing how shocks propagate heterogeneously across the conditional distribution. Introduced by Koenker and Xiao (2006) and applied to risk measurement by White et al. (2015), it reveals tail behavior and contagion effects invisible to mean-based VAR analysis. This is essential for risk management and understanding how crises propagate differently than normal times.	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.	Method of Moments Quantile Regression combines moment-based estimation (GMM) with quantile regression to estimate distribution parameters while handling endogeneity, panel structure, and dynamic relationships. Introduced by Koenker (2004) and developed by Machado and Mata (2005), it enables distributional analysis (not just mean regression) in complex settings like dynamic panels and instrumental-variable contexts. This approach is powerful for understanding heterogeneity in treatment effects and policy impacts.