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| 時間変化係数差分GMM (Time-Varying Parameter Difference GMM)× | パネルデータ固定効果モデル× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 2000s–2010s | 2014 |
| 提唱者≠ | Extends Arellano & Bond (1991) difference GMM; TVP panel extensions developed in the 2000s–2010s literature | Hsiao (textbook treatment); within transformation of panel data |
| 種類≠ | Dynamic panel estimator with time-varying parameters | Panel data regression |
| 原典≠ | 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 ↗ | Hsiao, C. (2014). Analysis of Panel Data (3rd ed.). Cambridge University Press. DOI ↗ |
| 別名 | TVP-DGMM, time-varying GMM, TVP difference GMM, dynamic panel TVP estimator | fixed effects model, within estimator, panel fixed-effects regression, Panel Veri — Sabit Etkiler Modeli |
| 関連≠ | 3 | 5 |
| 概要≠ | Time-varying parameter difference GMM combines the Arellano-Bond first-difference GMM estimator for dynamic panels with a state-space or local-smoothing framework that allows regression coefficients to drift over time. It handles endogeneity and lagged dependent variables while relaxing the assumption that structural relationships remain constant across all periods. | The Panel Data Fixed Effects model estimates relationships from panel data (the same units observed over several time periods) while controlling for unit- and/or time-specific effects, supporting causal inference. It is developed as the within estimator in standard treatments such as Hsiao's Analysis of Panel Data (2014). |
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