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| 時間変動係数システムGMM× | 時間変化係数差分GMM (Time-Varying Parameter Difference GMM)× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1998 (System GMM); TVP extensions in applied literature thereafter | 2000s–2010s |
| 提唱者≠ | Blundell & Bond (System GMM base); Cooley & Prescott (TVP framework) | Extends Arellano & Bond (1991) difference GMM; TVP panel extensions developed in the 2000s–2010s literature |
| 種類≠ | Dynamic panel estimator with time-varying coefficients | Dynamic panel estimator with time-varying parameters |
| 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. The Review of Economic Studies, 58(2), 277–297. DOI ↗ |
| 別名 | TVP System GMM, time-varying System GMM, TVP-SGMM, dynamic panel TVP estimator | TVP-DGMM, time-varying GMM, TVP difference GMM, dynamic panel TVP estimator |
| 関連≠ | 6 | 3 |
| 概要≠ | Time-Varying Parameter System GMM extends the Blundell-Bond System Generalized Method of Moments estimator to allow regression coefficients to change over time. By combining the instrument-based correction for dynamic endogeneity with a time-varying coefficient structure, the method captures both the persistence of the lagged dependent variable and structural shifts in the effect of regressors across periods. | 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. |
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