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| Stima con il Metodo Generalizzato dei Momenti (GMM)× | Regressioni Apparentemente Non Correlate (SUR)× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 1982 | 1962 |
| Ideatore≠ | Lars Peter Hansen; Arellano & Bond (dynamic panel) | Arnold Zellner |
| Tipo≠ | Moment-condition estimator | System regression (multi-equation) |
| Fonte seminale≠ | Hansen, L. P. (1982). Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50(4), 1029-1054. DOI ↗ | Zellner, A. (1962). An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias. Journal of the American Statistical Association, 57(298), 348-368. DOI ↗ |
| Alias | generalized method of moments, GMM, Arellano-Bond estimator, Genelleştirilmiş Momentler Yöntemi (GMM) | SUR, Zellner's SUR, seemingly unrelated regression equations, Görünürde İlişkisiz Regresyon (SUR) |
| Correlati | 5 | 5 |
| Sintesi≠ | The Generalized Method of Moments is a general-purpose econometric estimator that recovers parameters from population moment conditions, introduced by Lars Peter Hansen in 1982. It is widely used for instrumental-variable estimation, dynamic panel-data models (the Arellano-Bond estimator), and time-series applications. | Seemingly Unrelated Regressions, introduced by Arnold Zellner in 1962, is a system regression method that estimates several linear equations jointly when their error terms are correlated across equations. By exploiting that cross-equation correlation through generalized least squares, it is more efficient than estimating each equation separately by OLS. |
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