Regression modelEconometrics / time series
稳健非线性自回归分布式滞后 (Robust NARDL) 模型
Robust NARDL 将 Shin、Yu 和 Greenwood-Nimmo (2014) 的非对称协整框架与抗离群值估计相结合。它将一个回归量分解为正部 sums 和负部 sums，通过边界检验测试非对称的长期关系，并用 M 估计量或 MM 估计量替换 OLS 标准，以防范宏观经济和金融时间序列中常见的杠杆点和加性离群值。
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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 (pp. 281–314). Springer. DOI: 10.1007/978-1-4899-8008-3_9 ↗
- Autoregressive distributed lag. Wikipedia. link ↗
如何引用本页
ScholarGate. (2026, June 3). Robust Nonlinear Autoregressive Distributed Lag Model. ScholarGate. https://scholargate.app/zh/econometrics/robust-nardl
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