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| 時間変化係数差分GMM (Time-Varying Parameter Difference GMM)× | 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≠ | 2000s–2010s | 1998 |
| 提唱者≠ | Extends Arellano & Bond (1991) difference GMM; TVP panel extensions developed in the 2000s–2010s literature | Arellano & Bover (1995); Blundell & Bond (1998) |
| 種類≠ | Dynamic panel estimator with time-varying parameters | Dynamic panel data estimator |
| 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 ↗ | 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 | TVP-DGMM, time-varying GMM, TVP difference GMM, dynamic panel TVP estimator | Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond) |
| 関連≠ | 3 | 4 |
| 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. | 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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