Porovnat metody
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| Bayesian System GMM× | Systémový GMM pro panelová data (Blundell-Bondův odhad)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1998–2010 | 1998 |
| Tvůrce≠ | Blundell & Bond (System GMM, 1998); Bayesian integration via Chib and related MCMC literature | Blundell & Bond (1998); Arellano & Bover (1995) |
| Typ≠ | Bayesian dynamic panel estimator | GMM estimator for dynamic panel data |
| Původní zdroj | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ |
| Další názvy | Bayesian Sys-GMM, Bayesian BB estimator, Bayesian Blundell-Bond GMM, B-SGMM | System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM |
| Příbuzné≠ | 5 | 6 |
| Shrnutí≠ | Bayesian System GMM combines the Blundell-Bond System Generalized Method of Moments estimator for dynamic panel data with Bayesian prior distributions and posterior inference via MCMC. It handles endogeneity, individual fixed effects, and weak-instrument problems while incorporating prior knowledge and delivering full posterior uncertainty quantification — not just point estimates and asymptotic standard errors. | 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. |
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