Fourier Arellano-Bond GMM
Fourier Arellano-Bond GMM er en dynamisk panel-estimator, der udvider det klassiske Arellano-Bond first-differenced GMM-framework med Fourier trigonometriske led for at indfange glatte, gradvise strukturelle brud i tidsdimensionen. Den håndterer endogenitet gennem lagged-level instrumenter, samtidig med at den forbliver robust over for ukendte ikke-lineære trends, som standard difference GMM ignorerer.
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Kilder
- 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: 10.2307/2297968 ↗
- Gallant, A. R. (1981). On the bias in flexible functional forms and an essentially unbiased form: The Fourier flexible form. Journal of Econometrics, 15(2), 211-245. DOI: 10.1016/0304-4076(81)90115-9 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 3). Fourier-Augmented Arellano-Bond Generalized Method of Moments. ScholarGate. https://scholargate.app/da/econometrics/fourier-arellano-bond-gmm
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