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| Fourier Arellano-Bond GMM× | Dynamisk Paneldatamodel× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 2010s | 1988–1991 |
| Ophavsperson≠ | Extension of Arellano & Bond (1991) with Fourier flexible form augmentation | Arellano & Bond (1991); Holtz-Eakin, Newey & Rosen (1988) |
| Type≠ | Dynamic panel GMM estimator with smooth structural break accommodation | Dynamic regression / GMM estimation |
| Oprindelig kilde≠ | 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 ↗ | 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 | Fourier AB-GMM, Fourier first-differenced GMM, Fourier dynamic panel GMM, Fourier-extended Arellano-Bond estimator | dynamic panel model, panel data model with lagged dependent variable, DPD model, Arellano-Bond model |
| Relaterede≠ | 2 | 5 |
| Resumé≠ | Fourier Arellano-Bond GMM is a dynamic panel estimator that augments the classic Arellano-Bond first-differenced GMM framework with Fourier trigonometric terms to capture smooth, gradual structural breaks in the time dimension. It handles endogeneity through lagged-level instruments while remaining robust to unknown nonlinear trends that standard difference GMM ignores. | The dynamic panel data model extends standard panel regression by including a lagged value of the outcome variable as a regressor, capturing persistence and adjustment dynamics. Because the lagged dependent variable is correlated with the unit-specific fixed effect, ordinary OLS or within estimators are biased; GMM-based methods using internal instruments are the standard remedy. |
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