Comparer des méthodes

	Modèle de données de panel dynamique à paramètres variant dans le temps	Modèle dynamique de données de panel
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1990s–2000s	1988–1991
Auteur d'origine	Hsiao, Pesaran, and related panel time-series literature	Arellano & Bond (1991); Holtz-Eakin, Newey & Rosen (1988)
Type	Dynamic panel model with time-varying coefficients	Dynamic regression / GMM estimation
Source fondatrice	Canova, F., & Ciccarelli, M. (2009). Estimating multicountry VAR models. International Economic Review, 50(3), 929-959.	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.
Alias	TVP dynamic panel model, time-varying coefficient panel model, TVP-DPD model, state-space dynamic panel model	dynamic panel model, panel data model with lagged dependent variable, DPD model, Arellano-Bond model
Apparentées	2	5
Résumé	The time-varying parameter dynamic panel data model combines lagged dependent variables with coefficients that evolve over time across panel units. It extends conventional dynamic panel models by allowing slope parameters to shift across periods, making it well-suited for studying structural change, heterogeneous adjustment dynamics, and parameter instability in macro-panels and cross-country datasets.	The dynamic panel data model extends standard panel regression by including a lagged value of the outcome variable as a regressor, capturing persistence and adjustment dynamics. Because the lagged dependent variable is correlated with the unit-specific fixed effect, ordinary OLS or within estimators are biased; GMM-based methods using internal instruments are the standard remedy.