Bayesiansk forskelsmæssig GMM
Bayesian Difference GMM kombinerer Arellano-Bonds first-differencing strategi for dynamiske paneldata med et Bayesiansk inferensrammeværk. Ved at behandle GMM-momentbetingelserne som en kvasi-likelihood og placere prior-fordelinger på parametrene, producerer metoden en fuld posterior-fordeling over koefficienterne i stedet for et enkelt punktestimat med asymptotiske standardfejl.
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Method map
The neighbourhood of related methods — select a node to explore.
Kilder
- 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: 10.2307/2297968 ↗
- Chernozhukov, V., & Hong, H. (2003). An MCMC approach to classical estimation. Journal of Econometrics, 115(2), 293-346. DOI: 10.1016/S0304-4076(03)00100-3 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 3). Bayesian Difference Generalized Method of Moments. ScholarGate. https://scholargate.app/da/econometrics/bayesian-difference-gmm
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Bayesiansk dynamisk paneldatamodelØkonometri↔ compare
- Bayesian System GMMØkonometri↔ compare
- Difference GMM (Arellano-Bond Estimator)Økonometri↔ compare
- Dynamisk paneldatamodelØkonometri↔ compare
- System GMM (Arellano-Bover / Blundell-Bond)Økonometri↔ compare
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