GMM po razlici (Estimat Arellano-Bonda)
GMM po razlici, koji su uveli Arellano i Bond (1991), procenjuje dinamičke modele panel podataka tako što prvo primenjuje razlike jednačine radi uklanjanja fiksnih efekata, a zatim koristi zaostale nivoe endogenih promenljivih kao instrumente GMM-a. To je standardni pristup kada su prisutni zaostala zavisna promenljiva ili drugi endogeni regresori u panelu sa mnogo jedinica i malo vremenskih perioda.
Pročitajte celu metodu
Prijavite se besplatnim nalogom da biste pročitali ovaj odeljak.
Method map
The neighbourhood of related methods — select a node to explore.
+6 more
Izvori
- 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: 10.2307/2297968 ↗
- Roodman, D. (2009). How to do xtabond2: An introduction to difference and system GMM in Stata. Stata Journal, 9(1), 86–136. DOI: 10.1177/1536867X0900900106 ↗
Kako citirati ovu stranicu
ScholarGate. (2026, June 3). First-Differenced Generalized Method of Moments Estimator. ScholarGate. https://scholargate.app/sr/econometrics/difference-gmm
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Arellano-Bond GMM ОцењивачEkonometrija↔ compare
- Model dinamičkih panelnih podatakaEkonometrija↔ compare
- Model fiksnih efekataEkonometrija↔ compare
- Analiza panel podatakaEkonometrija↔ compare
- Panel GMM sistem (Blundell-Bondov estimator)Ekonometrija↔ compare
Citirana u
Uočili ste grešku na ovoj stranici? Prijavite je ili predložite ispravku →