השוואת שיטות
סקרו את השיטות שבחרתם זו לצד זו; שורות שבהן יש הבדל מודגשות.
| Difference GMM רובוסטי (Robust Difference GMM)× | אמידת GMM מערכתי רובסטי× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 1991 / 2005 | 1998–2005 |
| הוגה השיטה≠ | Arellano & Bond (1991); robust inference extension via Windmeijer (2005) | Blundell & Bond (1998); robustness corrections by Windmeijer (2005) |
| סוג≠ | GMM estimator with robust standard errors | Panel data GMM estimator |
| מקור מכונן≠ | 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 ↗ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ |
| כינויים | robust Arellano-Bond estimator, difference GMM with robust SE, HAC difference GMM, AB-GMM robust | system GMM with robust standard errors, two-step system GMM, Blundell-Bond robust estimator, robust S-GMM |
| קשורות≠ | 6 | 5 |
| תקציר≠ | 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. | Robust System GMM is a two-step panel data estimator that combines the difference and levels moment conditions of Blundell and Bond (1998) with Windmeijer's (2005) finite-sample correction to the two-step variance, producing valid inference even in short panels with a persistent dependent variable, individual fixed effects, and potentially endogenous regressors. |
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