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Przeglądaj wybrane metody obok siebie; wiersze, które się różnią, są wyróżnione.
| Nieliniowa metoda najmniejszych kwadratów uogólnionych (NGLS)× | Estymacja uogólnioną metodą momentów (GMM)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1975 | 1982 |
| Twórca≠ | Gallant (1975); extended by Davidson & MacKinnon | Lars Peter Hansen; Arellano & Bond (dynamic panel) |
| Typ≠ | Nonlinear estimator | Moment-condition estimator |
| Źródło pierwotne≠ | Gallant, A. R. (1987). Nonlinear Statistical Models. Wiley. ISBN: 978-0471802600 | Hansen, L. P. (1982). Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50(4), 1029-1054. DOI ↗ |
| Inne nazwy | NGLS, nonlinear generalized least squares, feasible nonlinear GLS, FNGLS | generalized method of moments, GMM, Arellano-Bond estimator, Genelleştirilmiş Momentler Yöntemi (GMM) |
| Pokrewne≠ | 2 | 5 |
| Podsumowanie≠ | Nonlinear Generalized Least Squares extends the classical GLS framework to regression models where the mean function is nonlinear in the parameters. It accounts for non-spherical errors — heteroscedasticity or autocorrelation — by pre-weighting the nonlinear objective with an estimated error covariance matrix, yielding consistent and asymptotically efficient estimates. | The Generalized Method of Moments is a general-purpose econometric estimator that recovers parameters from population moment conditions, introduced by Lars Peter Hansen in 1982. It is widely used for instrumental-variable estimation, dynamic panel-data models (the Arellano-Bond estimator), and time-series applications. |
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