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| 구조적 단절 차분 GMM× | 차분 GMM (아렐라노-본 추정량)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1991 / 1998 | 1991 |
| 창시자≠ | Arellano & Bond (Difference GMM); Bai & Perron (structural break testing) | Manuel Arellano and Stephen Bond |
| 유형≠ | Dynamic panel estimator with structural breaks | GMM panel estimator |
| 원전≠ | 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 ↗ |
| 별칭 | Difference GMM with structural breaks, break-augmented Arellano-Bond GMM, dynamic panel GMM with regime shifts, structural change Difference GMM | Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator |
| 관련≠ | 6 | 5 |
| 요약≠ | Structural Break Difference GMM extends the Arellano-Bond first-difference GMM estimator to dynamic panel settings where the data-generating process shifts at one or more unknown breakpoints. By explicitly incorporating break indicators or allowing regime-specific parameters, the estimator avoids the biased coefficient and invalid moment conditions that arise when a structural change is ignored in a standard Difference GMM fit. | Difference GMM, introduced by Arellano and Bond (1991), estimates dynamic panel data models by first-differencing the equation to remove fixed effects, then using lagged levels of the endogenous variables as GMM instruments. It is the standard approach when a lagged dependent variable or other endogenous regressors are present in a panel with many units and few time periods. |
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