Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| System GMM de Quebra Estrutural× | GMM em Sistema (Arellano-Bover / Blundell-Bond)× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1998–2003 | 1998 |
| Autor original≠ | Blundell & Bond (System GMM); Bai & Perron (structural break framework) | Arellano & Bover (1995); Blundell & Bond (1998) |
| Tipo≠ | Dynamic panel estimator with regime change | Dynamic panel data estimator |
| 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 with structural breaks, SB-SGMM, break-augmented System GMM, System GMM structural change estimator | Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond) |
| Relacionados≠ | 6 | 4 |
| Resumo≠ | 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. | System GMM is a generalized method of moments estimator for dynamic panel models that contain a lagged dependent variable. Introduced by Blundell and Bond (1998), building on Arellano and Bover, it augments the differenced equation of the earlier difference GMM (Arellano-Bond) with the equation in levels to deliver consistent estimates when N is large and T is small. |
| ScholarGateConjunto de dados ↗ |
|
|