השוואת שיטות
סקרו את השיטות שבחרתם זו לצד זו; שורות שבהן יש הבדל מודגשות.
| שבר מבני Difference GMM× | System GMM לשבר מבני× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 1991 / 1998 | 1998–2003 |
| הוגה השיטה≠ | Arellano & Bond (Difference GMM); Bai & Perron (structural break testing) | Blundell & Bond (System GMM); Bai & Perron (structural break framework) |
| סוג≠ | Dynamic panel estimator with structural breaks | Dynamic panel estimator with regime change |
| 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 | Difference GMM with structural breaks, break-augmented Arellano-Bond GMM, dynamic panel GMM with regime shifts, structural change Difference GMM | System GMM with structural breaks, SB-SGMM, break-augmented System GMM, System GMM structural change estimator |
| קשורות | 6 | 6 |
| תקציר≠ | Structural Break Difference GMM extends the Arellano-Bond first-difference GMM estimator to dynamic panel settings where the data-generating process shifts at one or more unknown breakpoints. By explicitly incorporating break indicators or allowing regime-specific parameters, the estimator avoids the biased coefficient and invalid moment conditions that arise when a structural change is ignored in a standard Difference GMM fit. | Structural Break System GMM extends the Blundell-Bond System GMM estimator for dynamic panel data by explicitly accounting for structural breaks — abrupt regime changes in slopes, intercepts, or dynamics — that, if ignored, bias the coefficient estimates and invalidate the moment conditions that underpin standard GMM inference. |
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