השוואת שיטות
סקרו את השיטות שבחרתם זו לצד זו; שורות שבהן יש הבדל מודגשות.
| אומדן GMM בהפרשים (אומדן ארלו-בונד)× | אומדן גאוס-מרקוב-ניואי (GMM) של ארייאנו-בונד× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור | 1991 | 1991 |
| הוגה השיטה | Manuel Arellano and Stephen Bond | Manuel Arellano and Stephen Bond |
| סוג≠ | GMM panel estimator | GMM estimator for dynamic panel data |
| מקור מכונן≠ | 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 ↗ | 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 ↗ |
| כינויים | Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator | AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator |
| קשורות | 5 | 5 |
| תקציר≠ | Difference GMM, introduced by Arellano and Bond (1991), estimates dynamic panel data models by first-differencing the equation to remove fixed effects, then using lagged levels of the endogenous variables as GMM instruments. It is the standard approach when a lagged dependent variable or other endogenous regressors are present in a panel with many units and few time periods. | The Arellano-Bond GMM estimator is the standard approach for dynamic panel data models in which the lagged dependent variable appears as a regressor. By first-differencing to remove fixed effects and using deeper lags as instruments, it yields consistent estimates even when the error is serially correlated and regressors are endogenous. |
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