Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Estimateur GMM systémique (Estimateur de Blundell-Bond)× | Estimateur GMM de Arellano-Bond pour données de panel× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1998 | 1991 |
| Auteur d'origine≠ | Blundell & Bond (1998); Arellano & Bover (1995) | Manuel Arellano and Stephen Bond |
| Type≠ | GMM estimator for dynamic panel data | Dynamic panel GMM estimator |
| Source fondatrice≠ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. 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 ↗ |
| Alias | System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM | Arellano-Bond GMM, AB-GMM, difference GMM estimator, dynamic panel GMM |
| Apparentées≠ | 6 | 5 |
| Résumé≠ | 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. | 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. |
| ScholarGateJeu de données ↗ |
|
|