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| Bayesian System GMM× | Arellano-Bond GMM-estimator× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1998–2010 | 1991 |
| Ophavsperson≠ | Blundell & Bond (System GMM, 1998); Bayesian integration via Chib and related MCMC literature | Manuel Arellano and Stephen Bond |
| Type≠ | Bayesian dynamic panel estimator | GMM estimator for dynamic panel data |
| Oprindelig kilde≠ | 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 ↗ |
| Aliasser | Bayesian Sys-GMM, Bayesian BB estimator, Bayesian Blundell-Bond GMM, B-SGMM | AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator |
| Relaterede | 5 | 5 |
| Resumé≠ | 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. | 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. |
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