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| Strukturel Brud Difference GMM× | Strukturel brud paneldataanalyse× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1991 / 1998 | 1998-2010 |
| Ophavsperson≠ | Arellano & Bond (Difference GMM); Bai & Perron (structural break testing) | Bai & Perron (1998); extended to panels by Bai (2010) and Joseph et al. |
| Type≠ | Dynamic panel estimator with structural breaks | Panel time-series model with regime shifts |
| Oprindelig kilde≠ | 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. DOI ↗ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47-78. DOI ↗ |
| Aliasser | Difference GMM with structural breaks, break-augmented Arellano-Bond GMM, dynamic panel GMM with regime shifts, structural change Difference GMM | panel structural break test, break-point panel model, panel change-point analysis, regime-shift panel analysis |
| Relaterede≠ | 6 | 4 |
| Resumé≠ | Structural Break Difference GMM extends the Arellano-Bond first-difference GMM estimator to dynamic panel settings where the data-generating process shifts at one or more unknown breakpoints. By explicitly incorporating break indicators or allowing regime-specific parameters, the estimator avoids the biased coefficient and invalid moment conditions that arise when a structural change is ignored in a standard Difference GMM fit. | Structural break panel data analysis detects and estimates points in time — break dates — where the underlying regression coefficients shift permanently across a panel of cross-sectional units observed over multiple periods. By jointly exploiting cross-sectional and time-series variation, it offers sharper identification of regime shifts than single-series break tests, and it delivers separate coefficient estimates for each regime before and after each break. |
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