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| Система от Фурие ГММ× | Оценител на Арeляно-Бонд GMM× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 2000s–2010s | 1991 |
| Създател≠ | Blundell & Bond (System GMM, 1998); Fourier augmentation adapted from Gallant (1981) and Becker, Enders & Lee (2006) | Manuel Arellano and Stephen Bond |
| Тип≠ | Dynamic panel GMM with Fourier smooth-break regressors | GMM estimator for dynamic panel data |
| Основополагащ източник≠ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ | 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 ↗ |
| Други названия | Fourier System GMM, Fourier-augmented Blundell-Bond GMM, smooth-break system GMM, Fourier SGMM | AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator |
| Свързани≠ | 6 | 5 |
| Резюме≠ | Fourier system GMM embeds Fourier trigonometric terms into the System GMM estimator of Blundell and Bond (1998) to accommodate smooth, gradual structural breaks in dynamic panel data. By adding sine and cosine components as regressors, the estimator captures unknown, potentially multiple regime shifts without requiring prior knowledge of break dates, while preserving the instrument-based controls for endogeneity and individual fixed effects. | 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. |
| ScholarGateНабор от данни ↗ |
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