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| Dynamisches Paneldatenmodell× | Panel-Random-Effects-Modell× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1991–1998 | 1966 |
| Urheber≠ | Arellano & Bond (1991); Blundell & Bond (1998) | Balestra & Nerlove |
| Typ≠ | Dynamic panel regression | Panel data estimator |
| Wegweisende Quelle≠ | 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 ↗ | Balestra, P., & Nerlove, M. (1966). Pooling cross section and time series data in the estimation of a dynamic model: The demand for natural gas. Econometrica, 34(3), 585–612. DOI ↗ |
| Aliasnamen | dynamic panel model, lagged dependent variable panel model, Arellano-Bond type dynamic panel, GMM dynamic panel | random effects estimator, RE model, GLS random effects, error components model |
| Verwandt | 5 | 5 |
| Zusammenfassung≠ | The dynamic panel data model extends standard panel regression by including one or more lagged values of the outcome variable as regressors. Because past outcomes directly predict current outcomes, the model captures persistence and adjustment dynamics — but it also introduces a correlation between the lagged dependent variable and the individual fixed effect, rendering OLS and standard fixed-effects estimators inconsistent. GMM-based approaches developed by Arellano-Bond and Blundell-Bond resolve this problem. | The panel random effects (RE) model treats individual-specific effects as random draws from a population distribution rather than fixed constants, enabling efficient estimation by generalised least squares and allowing inference about time-invariant regressors that are swept away in fixed effects estimation. |
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