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| Systémový GMM pre panelové dáta (Blundell-Bondov odhad)× | Odhadzovač GMM pre panelové dáta Arellano-Bond× | |
|---|---|---|
| Odbor | Ekonometria | Ekonometria |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1998 | 1991 |
| Tvorca≠ | Blundell & Bond (1998); Arellano & Bover (1995) | Manuel Arellano and Stephen Bond |
| Typ≠ | GMM estimator for dynamic panel data | Dynamic panel GMM estimator |
| 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 | System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM | Arellano-Bond GMM, AB-GMM, difference GMM estimator, dynamic panel GMM |
| Príbuzné≠ | 6 | 5 |
| Zhrnutie≠ | 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 addresses the two core problems of dynamic panel models — individual fixed effects correlated with the regressors, and the endogeneity introduced by a lagged dependent variable — by first-differencing to remove fixed effects and then using lagged levels of the dependent variable as internal instruments. |
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