手法を比較
選択した手法を並べて確認できます。異なる行はハイライト表示されます。
| パネルシステムGMM（ブランドル・ボンド推定量）× | 差分 GMM (Arellano-Bond 推定量)× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1998 | 1991 |
| 提唱者≠ | Blundell & Bond (1998); Arellano & Bover (1995) | Manuel Arellano and Stephen Bond |
| 種類≠ | GMM estimator for dynamic panel data | GMM panel estimator |
| 原典≠ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. 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 ↗ |
| 別名 | System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM | Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator |
| 関連≠ | 6 | 5 |
| 概要≠ | Panel System GMM is a two-equation GMM estimator for dynamic panel data that stacks the differenced equation (using lagged levels as instruments) with the levels equation (using lagged differences as instruments). Developed by Blundell and Bond (1998) on the foundation of Arellano and Bover (1995), it is the preferred tool when the lagged dependent variable is highly persistent or individual effects are large. | 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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