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| Parameter Arellano-Bond GMM Berubah Waktu× | Model Vektor Autoregresif Parameter Bervariasi Waktu (TVP-VAR)× | |
|---|---|---|
| Bidang | Ekonometrika | Ekonometrika |
| Keluarga | Regression model | Regression model |
| Tahun asal≠ | 1990s-2000s | 2005 |
| Pencetus≠ | Extension of Arellano & Bond (1991); TVP generalisation developed in panel econometrics literature | Primiceri (2005); Cogley & Sargent (2001, 2005) |
| Tipe≠ | Dynamic panel GMM with time-varying coefficients | Multivariate time-series model with drifting coefficients |
| Sumber perintis≠ | 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 ↗ | Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821-852. DOI ↗ |
| Alias | TVP Arellano-Bond GMM, TVP-AB GMM, time-varying coefficient dynamic panel GMM, state-space Arellano-Bond estimator | TVP-VAR, time-varying VAR, TV-VAR, drifting-coefficient VAR |
| Terkait | 6 | 6 |
| Ringkasan≠ | 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. | The Time-Varying Parameter VAR (TVP-VAR) model extends the standard vector autoregression by allowing the coefficients and error covariances to evolve gradually over time. Estimated via Bayesian methods and MCMC simulation, it captures how dynamic relationships between macroeconomic or financial variables shift across different economic regimes without requiring pre-specified break points. |
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