Сравнение на методи

	Time-varying parameter difference GMM	Системен GMM (Ареляно-Бовер / Блъндел-Бонд)
Област	Иконометрия	Иконометрия
Семейство	Regression model	Regression model
Година на възникване	2000s–2010s	1998
Създател	Extends Arellano & Bond (1991) difference GMM; TVP panel extensions developed in the 2000s–2010s literature	Arellano & Bover (1995); Blundell & Bond (1998)
Тип	Dynamic panel estimator with time-varying parameters	Dynamic panel data estimator
Основополагащ източник	Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies, 58(2), 277–297.	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.
Други названия	TVP-DGMM, time-varying GMM, TVP difference GMM, dynamic panel TVP estimator	Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond)
Свързани	3	4
Резюме	Time-varying parameter difference GMM combines the Arellano-Bond first-difference GMM estimator for dynamic panels with a state-space or local-smoothing framework that allows regression coefficients to drift over time. It handles endogeneity and lagged dependent variables while relaxing the assumption that structural relationships remain constant across all periods.	System GMM is a generalized method of moments estimator for dynamic panel models that contain a lagged dependent variable. Introduced by Blundell and Bond (1998), building on Arellano and Bover, it augments the differenced equation of the earlier difference GMM (Arellano-Bond) with the equation in levels to deliver consistent estimates when N is large and T is small.