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| Оценител на Арeляно-Бонд GMM× | Системният GMM за панелни данни (оценител на Блъндел-Бонд)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1991 | 1998 |
| Създател≠ | Manuel Arellano and Stephen Bond | Blundell & Bond (1998); Arellano & Bover (1995) |
| Тип | GMM estimator for dynamic panel data | GMM estimator for dynamic panel data |
| Основополагащ източник≠ | Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58(2), 277-297. DOI ↗ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ |
| Други названия | AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator | System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM |
| Свързани≠ | 5 | 6 |
| Резюме≠ | The Arellano-Bond GMM estimator is the standard approach for dynamic panel data models in which the lagged dependent variable appears as a regressor. By first-differencing to remove fixed effects and using deeper lags as instruments, it yields consistent estimates even when the error is serially correlated and regressors are endogenous. | Panel System GMM is a two-equation GMM estimator for dynamic panel data that stacks the differenced equation (using lagged levels as instruments) with the levels equation (using lagged differences as instruments). Developed by Blundell and Bond (1998) on the foundation of Arellano and Bover (1995), it is the preferred tool when the lagged dependent variable is highly persistent or individual effects are large. |
| ScholarGateНабор от данни ↗ |
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