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| Estymator GMM Arellano-Bonda ze zmiennymi w czasie parametrami× | Estymator GMM Arellano-Bonda× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1990s-2000s | 1991 |
| Twórca≠ | Extension of Arellano & Bond (1991); TVP generalisation developed in panel econometrics literature | Manuel Arellano and Stephen Bond |
| Typ≠ | Dynamic panel GMM with time-varying coefficients | GMM estimator for dynamic panel data |
| Źródło pierwotne≠ | 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 ↗ |
| Inne nazwy | TVP Arellano-Bond GMM, TVP-AB GMM, time-varying coefficient dynamic panel GMM, state-space Arellano-Bond estimator | AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator |
| Pokrewne≠ | 6 | 5 |
| Podsumowanie≠ | 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 is the standard approach for dynamic panel data models in which the lagged dependent variable appears as a regressor. By first-differencing to remove fixed effects and using deeper lags as instruments, it yields consistent estimates even when the error is serially correlated and regressors are endogenous. |
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