Tidsvarierende parameter differens GMM
Tidsvarierende parameter differens GMM kombinerer Arellano-Bonds differens GMM-estimator for dynamiske paneler med et tilstandsrums- eller lokalt udjævnende rammeværk, der tillader regressionskoefficienter at drive over tid. Den håndterer endogenitet og lagged afhængige variable, samtidig med at den afslapper antagelsen om, at strukturelle sammenhænge forbliver konstante på tværs af alle perioder.
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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. The Review of Economic Studies, 58(2), 277–297. DOI: 10.2307/2297968 ↗
- Cai, Z. (2007). Trending time-varying coefficient time series models with serially correlated errors. Journal of Econometrics, 136(1), 163–188. DOI: 10.1016/j.jeconom.2005.08.004 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 3). Time-Varying Parameter Difference Generalized Method of Moments. ScholarGate. https://scholargate.app/da/econometrics/time-varying-parameter-difference-gmm
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- Difference GMM (Arellano-Bond Estimator)Økonometri↔ compare
- Panel Data Fixed Effects ModelØkonometri↔ compare
- System GMM (Arellano-Bover / Blundell-Bond)Økonometri↔ compare
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