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| Fourier sustav GMM× | Sustav GMM sa strukturnim lomom× | |
|---|---|---|
| Područje | Ekonometrija | Ekonometrija |
| Obitelj | Regression model | Regression model |
| Godina nastanka≠ | 2000s–2010s | 1998–2003 |
| Tvorac≠ | Blundell & Bond (System GMM, 1998); Fourier augmentation adapted from Gallant (1981) and Becker, Enders & Lee (2006) | Blundell & Bond (System GMM); Bai & Perron (structural break framework) |
| Vrsta≠ | Dynamic panel GMM with Fourier smooth-break regressors | Dynamic panel estimator with regime change |
| Temeljni izvor | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ |
| Drugi nazivi | Fourier System GMM, Fourier-augmented Blundell-Bond GMM, smooth-break system GMM, Fourier SGMM | System GMM with structural breaks, SB-SGMM, break-augmented System GMM, System GMM structural change estimator |
| Srodne | 6 | 6 |
| Sažetak≠ | Fourier system GMM embeds Fourier trigonometric terms into the System GMM estimator of Blundell and Bond (1998) to accommodate smooth, gradual structural breaks in dynamic panel data. By adding sine and cosine components as regressors, the estimator captures unknown, potentially multiple regime shifts without requiring prior knowledge of break dates, while preserving the instrument-based controls for endogeneity and individual fixed effects. | 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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