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| Anderson-Hsiao estimator instrumentalnih promenljivih× | System GMM (Arellano-Bover / Blundell-Bond)× | |
|---|---|---|
| Oblast | Ekonometrija | Ekonometrija |
| Porodica | Regression model | Regression model |
| Godina nastanka≠ | 1981 | 1998 |
| Tvorac≠ | Theodore Anderson & Cheng Hsiao | Arellano & Bover (1995); Blundell & Bond (1998) |
| Tip≠ | Instrumental variables estimator for dynamic panel data | Dynamic panel data estimator |
| Temeljni izvor≠ | Anderson, T. W., & Hsiao, C. (1981). Estimation of dynamic models with error components. Journal of the American Statistical Association, 76(375), 598–606. 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 ↗ |
| Drugi nazivi | Anderson-Hsiao Estimator, AH IV Estimator, Dynamic Panel IV Estimator, Anderson-Hsiao Araçsal Değişken Tahmincisi | Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond) |
| Srodne≠ | 2 | 4 |
| Sažetak≠ | The Anderson-Hsiao IV estimator is a method for consistently estimating dynamic panel data models that include a lagged dependent variable as a regressor. Proposed by Theodore Anderson and Cheng Hsiao in 1981, it resolves the Nickell bias that arises when fixed effects are eliminated by first-differencing, by instrumenting the differenced lagged dependent variable with its own second lag in levels or differences. | 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. |
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