手法を比較
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| 見かけ上無関係な回帰 (SUR)× | システムGMM（アレラーノ・ボバー / ブランドル・ボンド）× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1962 | 1998 |
| 提唱者≠ | Arnold Zellner | Arellano & Bover (1995); Blundell & Bond (1998) |
| 種類≠ | System regression (multi-equation) | Dynamic panel data estimator |
| 原典≠ | 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 ↗ | 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 | SUR, Zellner's SUR, seemingly unrelated regression equations, Görünürde İlişkisiz Regresyon (SUR) | Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond) |
| 関連≠ | 5 | 4 |
| 概要≠ | 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. | System GMM is a generalized method of moments estimator for dynamic panel models that contain a lagged dependent variable. Introduced by Blundell and Bond (1998), building on Arellano and Bover, it augments the differenced equation of the earlier difference GMM (Arellano-Bond) with the equation in levels to deliver consistent estimates when N is large and T is small. |
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