השוואת שיטות
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| מודל נתוני פאנל דינמי עם פרמטרים משתנים בזמן× | מודל נתונים פאנליים דינמיים× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 1990s–2000s | 1988–1991 |
| הוגה השיטה≠ | Hsiao, Pesaran, and related panel time-series literature | Arellano & Bond (1991); Holtz-Eakin, Newey & Rosen (1988) |
| סוג≠ | Dynamic panel model with time-varying coefficients | Dynamic regression / GMM estimation |
| מקור מכונן≠ | Canova, F., & Ciccarelli, M. (2009). Estimating multicountry VAR models. International Economic Review, 50(3), 929-959. 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 | 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 |
| קשורות≠ | 2 | 5 |
| תקציר≠ | 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. |
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