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Time-varying parameter Arellano-Bond GMM/Evidence
Method evidence record

Time-varying parameter Arellano-Bond GMM

The time-varying parameter Arellano-Bond GMM (TVP-AB GMM) is a dynamic panel estimator that extends the classic Arellano-Bond difference GMM framework by allowing regression coefficients to evolve over time. It addresses both individual fixed effects and the endogeneity of lagged dependent variables, while accommodating structural change and parameter instability across the sample period.

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Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Time-Varying Parameter Arellano-Bond Generalized Method of Moments Estimator
Taxonomic method record · regression-model / econometrics
  • 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
  • Canova, F., & Ciccarelli, M. (2009). Estimating Multicountry VAR Models. International Economic Review, 50(3), 929-959. · DOI 10.1111/j.1468-2354.2009.00554.x
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Related methods

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Taxonomic bucketArellano-Bond GMM estimatormachine-suggested · Relational suggestion, not evidence.Taxonomic bucketDifference GMMmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketDynamic Panel Data Modelmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketPanel Arellano-Bond GMMmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketPanel System GMMmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketTime-varying parameter VAR modelmachine-suggested · Relational suggestion, not evidence.

Evidence status

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Sources

2 recorded citations, copied from the method source record.

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