Regression modelEconometrics / time series
Panel System GMM (Blundell-Bond Estimator)
Panel System GMM is a two-equation GMM estimator for dynamic panel data that stacks the differenced equation (using lagged levels as instruments) with the levels equation (using lagged differences as instruments). Developed by Blundell and Bond (1998) on the foundation of Arellano and Bover (1995), it is the preferred tool when the lagged dependent variable is highly persistent or individual effects are large.
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Sources
- 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 ↗
- Arellano, M., & Bover, O. (1995). Another look at the instrumental variable estimation of error-components models. Journal of Econometrics, 68(1), 29–51. DOI: 10.1016/0304-4076(94)01642-D ↗
Related methods
Referenced by
Arellano-Bond GMM estimatorBayesian System GMMDifference GMMFourier system GMMPanel Arellano-Bond GMMPanel Dynamic Panel Data ModelRobust Arellano-Bond GMMRobust Difference GMMRobust Dynamic Panel Data ModelStructural Break Dynamic Panel Data ModelStructural Break System GMMTime-varying parameter Arellano-Bond GMMTime-varying parameter system GMM