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| 구조적 변화 시스템 GMM× | 구조적 단절 차분 GMM× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1998–2003 | 1991 / 1998 |
| 창시자≠ | Blundell & Bond (System GMM); Bai & Perron (structural break framework) | Arellano & Bond (Difference GMM); Bai & Perron (structural break testing) |
| 유형≠ | Dynamic panel estimator with regime change | Dynamic panel estimator with structural breaks |
| 원전≠ | 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 ↗ |
| 별칭 | System GMM with structural breaks, SB-SGMM, break-augmented System GMM, System GMM structural change estimator | Difference GMM with structural breaks, break-augmented Arellano-Bond GMM, dynamic panel GMM with regime shifts, structural change Difference GMM |
| 관련 | 6 | 6 |
| 요약≠ | Structural Break System GMM extends the Blundell-Bond System GMM estimator for dynamic panel data by explicitly accounting for structural breaks — abrupt regime changes in slopes, intercepts, or dynamics — that, if ignored, bias the coefficient estimates and invalidate the moment conditions that underpin standard GMM inference. | 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. |
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