Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Robustne erinevuste GMM× | Arellano-Bongi GMM estimaator× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 1991 / 2005 | 1991 |
| Looja≠ | Arellano & Bond (1991); robust inference extension via Windmeijer (2005) | Manuel Arellano and Stephen Bond |
| Tüüp≠ | GMM estimator with robust standard errors | Dynamic panel GMM estimator |
| Algallikas≠ | 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 ↗ | 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 ↗ |
| Rööpnimetused | robust Arellano-Bond estimator, difference GMM with robust SE, HAC difference GMM, AB-GMM robust | Arellano-Bond GMM, AB-GMM, difference GMM estimator, dynamic panel GMM |
| Seotud≠ | 6 | 5 |
| Kokkuvõte≠ | Robust Difference GMM applies the Arellano-Bond first-difference GMM estimator with heteroscedasticity- and autocorrelation-consistent (HAC) or Windmeijer-corrected standard errors, delivering valid inference for dynamic panel models even when error variances are non-constant or residuals are cross-sectionally correlated. | The Arellano-Bond GMM estimator addresses the two core problems of dynamic panel models — individual fixed effects correlated with the regressors, and the endogeneity introduced by a lagged dependent variable — by first-differencing to remove fixed effects and then using lagged levels of the dependent variable as internal instruments. |
| ScholarGateAndmestik ↗ |
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