Porovnať metódy
Prezrite si vybrané metódy vedľa seba; riadky, ktoré sa líšia, sú zvýraznené.
| Bayesian System GMM× | Dynamický model panelových dát× | |
|---|---|---|
| Odbor | Ekonometria | Ekonometria |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1998–2010 | 1988–1991 |
| Tvorca≠ | Blundell & Bond (System GMM, 1998); Bayesian integration via Chib and related MCMC literature | Arellano & Bond (1991); Holtz-Eakin, Newey & Rosen (1988) |
| Typ≠ | Bayesian dynamic panel estimator | Dynamic regression / GMM estimation |
| Pôvodný zdroj≠ | 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 ↗ |
| Ďalšie názvy | Bayesian Sys-GMM, Bayesian BB estimator, Bayesian Blundell-Bond GMM, B-SGMM | dynamic panel model, panel data model with lagged dependent variable, DPD model, Arellano-Bond model |
| Príbuzné | 5 | 5 |
| Zhrnutie≠ | Bayesian System GMM combines the Blundell-Bond System Generalized Method of Moments estimator for dynamic panel data with Bayesian prior distributions and posterior inference via MCMC. It handles endogeneity, individual fixed effects, and weak-instrument problems while incorporating prior knowledge and delivering full posterior uncertainty quantification — not just point estimates and asymptotic standard errors. | The dynamic panel data model extends standard panel regression by including a lagged value of the outcome variable as a regressor, capturing persistence and adjustment dynamics. Because the lagged dependent variable is correlated with the unit-specific fixed effect, ordinary OLS or within estimators are biased; GMM-based methods using internal instruments are the standard remedy. |
| ScholarGateDátová sada ↗ |
|
|