Regression modelEconometrics / time series
贝叶斯非线性自回归分布滞后模型：具有贝叶斯估计的非线性自回归分布滞后模型
贝叶斯非线性自回归分布滞后模型（Bayesian NARDL）结合了Shin、Yu和Greenwood-Nimmo（2014）提出的非线性自回归分布滞后（Nonlinear Autoregressive Distributed Lag, NARDL）框架与贝叶斯后验推断。它能够模拟非对称的长期协整——允许回归变量的正面和负面冲击产生不同的均衡效应——同时纳入先验知识并生成所有参数（包括不对称性差距）的完整后验分布。
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来源
- 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: Econometric Methods and Applications (pp. 281–314). Springer. link ↗
- Koop, G. (2003). Bayesian Econometrics. Wiley. ISBN: 978-0470845677
如何引用本页
ScholarGate. (2026, June 3). Bayesian Nonlinear Autoregressive Distributed Lag Model. ScholarGate. https://scholargate.app/zh/econometrics/bayesian-nardl
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Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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