Methoden vergelijken
Bekijk de geselecteerde methoden naast elkaar; rijen die verschillen zijn gemarkeerd.
| Tijdsvariërende Parameter Arellano-Bond GMM× | Arellano-Bond GMM-schatter voor panelen× | |
|---|---|---|
| Vakgebied | Econometrie | Econometrie |
| Familie | Regression model | Regression model |
| Jaar van ontstaan≠ | 1990s-2000s | 1991 |
| Grondlegger≠ | Extension of Arellano & Bond (1991); TVP generalisation developed in panel econometrics literature | Manuel Arellano and Stephen Bond |
| Type≠ | Dynamic panel GMM with time-varying coefficients | Dynamic panel GMM estimator |
| Oorspronkelijke bron≠ | 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 ↗ |
| Aliassen | TVP Arellano-Bond GMM, TVP-AB GMM, time-varying coefficient dynamic panel GMM, state-space Arellano-Bond estimator | Arellano-Bond GMM, AB-GMM, difference GMM estimator, dynamic panel GMM |
| Verwant≠ | 6 | 5 |
| Samenvatting≠ | The time-varying parameter Arellano-Bond GMM (TVP-AB GMM) is a dynamic panel estimator that extends the classic Arellano-Bond difference GMM framework by allowing regression coefficients to evolve over time. It addresses both individual fixed effects and the endogeneity of lagged dependent variables, while accommodating structural change and parameter instability across the sample period. | The Arellano-Bond GMM estimator addresses the two core problems of dynamic panel models — individual fixed effects correlated with the regressors, and the endogeneity introduced by a lagged dependent variable — by first-differencing to remove fixed effects and then using lagged levels of the dependent variable as internal instruments. |
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