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。
| システムGMM（アレラーノ・ボバー / ブランドル・ボンド）× | パネルベクトル自己回帰（Panel VAR）× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1998 | 1988 |
| 提唱者≠ | Arellano & Bover (1995); Blundell & Bond (1998) | Holtz-Eakin, Newey & Rosen |
| 種類≠ | Dynamic panel data estimator | Panel vector autoregression |
| 原典≠ | 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 ↗ | Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI ↗ |
| 別名≠ | Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond) | PVAR, panel vector autoregression, Panel VAR (PVAR) |
| 関連≠ | 4 | 3 |
| 概要≠ | 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. | Panel VAR extends the vector autoregression model to panel data, modelling the dynamic interactions among several variables while controlling for cross-unit heterogeneity through fixed effects. It was introduced by Holtz-Eakin, Newey and Rosen in 1988 and produces impulse-response functions and variance decompositions at the panel level. |
| ScholarGateデータセット ↗ |
|
|