System GMM (Arellano-Bover / Blundell-Bond)
System GMM er en generaliseret momentmetode-estimator for dynamiske panelmodeller, der indeholder en forsinket afhængig variabel. Introduceret af Blundell og Bond (1998), baseret på Arellano og Bover, udvider den den differenserede ligning fra den tidligere differens GMM (Arellano-Bond) med ligningen i niveauer for at levere konsistente estimater, når N er stor og T er lille.
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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 ↗
- Blundell, R. & Bond, S. (1998). Initial Conditions and Moment Restrictions in Dynamic Panel Data Models. Journal of Econometrics, 87(1), 115-143. DOI: 10.1016/S0304-4076(98)00009-8 ↗
- Roodman, D. (2009). How to Do xtabond2: An Introduction to Difference and System GMM in Stata. Stata Journal, 9(1), 86-136. DOI: 10.1177/1536867X0900900106 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 1). System Generalized Method of Moments Estimator (Arellano-Bover / Blundell-Bond). ScholarGate. https://scholargate.app/da/econometrics/system-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.
- Almindelig mindste kvadraters metode (OLS) regressionØkonometri↔ compare
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- Paneldata Random Effects ModelØkonometri↔ compare
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