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| 结构断裂分位数-分位数回归× | 非线性自回归分布式滞后 (NARDL) 模型× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2015-2020s | 2014 |
| 提出者≠ | Extension combining Sim & Zhou (2015) QQR framework with Bai-Perron structural break methodology | Shin, Yu & Greenwood-Nimmo |
| 类型≠ | Nonparametric quantile regression with structural breaks | Nonlinear cointegration model |
| 开创性文献≠ | Sim, N., and Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and Finance, 55, 1-8. DOI ↗ | Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. C. Sickles & W. C. Horrace (Eds.), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications (pp. 281–314). Springer. link ↗ |
| 别名 | SB-QQR, structural-break QQ regression, quantile-on-quantile with structural breaks, QQR with regime shifts | NARDL, nonlinear bounds test, asymmetric ARDL, asymmetric cointegration model |
| 相关≠ | 6 | 5 |
| 摘要≠ | Structural Break Quantile-on-Quantile Regression (SB-QQR) extends the quantile-on-quantile framework of Sim and Zhou (2015) by allowing regression slopes to differ across regimes separated by structural breaks. It maps how the effect of a predictor's quantile on an outcome's quantile changes not only across the full distributional space but also across distinct historical periods or policy regimes. | The Nonlinear ARDL (NARDL) model extends the linear ARDL bounds-testing framework to allow asymmetric long-run and short-run relationships. By decomposing the regressor into cumulative positive and negative partial sums, it tests whether increases and decreases in a variable exert different effects on the outcome — a feature especially relevant in financial and energy economics where positive and negative shocks rarely cancel out symmetrically. |
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