Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Модель панельных данных с фиксированными эффектами× | Системный ОММ (Арельяно-Бовер / Бланделл-Бонд)× | |
|---|---|---|
| Область | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model |
| Год появления≠ | 2005 | 1998 |
| Автор метода≠ | Baltagi (textbook treatment); Hausman test for FE vs RE choice | Arellano & Bover (1995); Blundell & Bond (1998) |
| Тип≠ | Panel data regression | Dynamic panel data estimator |
| Основополагающий источник≠ | Hausman, J. A. (1978). Specification Tests in Econometrics. Econometrica, 46(6), 1251–1271. 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 ↗ |
| Другие названия | within estimator, panel fixed effects, entity fixed effects model, Panel Sabit Etkiler Modeli | Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond) |
| Связанные≠ | 5 | 4 |
| Сводка≠ | The fixed effects panel model estimates relationships in panel data (many units observed over time) by exploiting only the within-unit variation, so that unobserved time-invariant heterogeneity is controlled away. It is the central within estimator developed in Baltagi's Econometric Analysis of Panel Data (2005), and the choice between it and the random effects model is settled by the Hausman (1978) test. | 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. |
| ScholarGateНабор данных ↗ |
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