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| Time-varying parameter Arellano-Bond GMM× | GMM razlika (Arellano-Bondov procjenitelj)× | |
|---|---|---|
| Područje | Ekonometrija | Ekonometrija |
| Obitelj | Regression model | Regression model |
| Godina nastanka≠ | 1990s-2000s | 1991 |
| Tvorac≠ | Extension of Arellano & Bond (1991); TVP generalisation developed in panel econometrics literature | Manuel Arellano and Stephen Bond |
| Vrsta≠ | Dynamic panel GMM with time-varying coefficients | GMM panel estimator |
| Temeljni izvor≠ | 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 ↗ | 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 ↗ |
| Drugi nazivi | TVP Arellano-Bond GMM, TVP-AB GMM, time-varying coefficient dynamic panel GMM, state-space Arellano-Bond estimator | Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator |
| Srodne≠ | 6 | 5 |
| Sažetak≠ | The time-varying parameter Arellano-Bond GMM (TVP-AB GMM) is a dynamic panel estimator that extends the classic Arellano-Bond difference GMM framework by allowing regression coefficients to evolve over time. It addresses both individual fixed effects and the endogeneity of lagged dependent variables, while accommodating structural change and parameter instability across the sample period. | 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. |
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