Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| GMM em Painel (Estimador de Blundell-Bond)× | Estimador GMM de Arellano-Bond× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1998 | 1991 |
| Autor original≠ | Blundell & Bond (1998); Arellano & Bover (1995) | Manuel Arellano and Stephen Bond |
| Tipo | GMM estimator for dynamic panel data | GMM estimator for dynamic panel data |
| Fonte seminal≠ | 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. Review of Economic Studies, 58(2), 277-297. DOI ↗ |
| Outros nomes | System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM | AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator |
| Relacionados≠ | 6 | 5 |
| Resumo≠ | Panel System GMM is a two-equation GMM estimator for dynamic panel data that stacks the differenced equation (using lagged levels as instruments) with the levels equation (using lagged differences as instruments). Developed by Blundell and Bond (1998) on the foundation of Arellano and Bover (1995), it is the preferred tool when the lagged dependent variable is highly persistent or individual effects are large. | 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. |
| ScholarGateConjunto de dados ↗ |
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