Panel Arellano-Bond GMM Estimator
GMM estimator Arellano-Bond rešava dva ključna problema modela dinamičkih panela — individualne fiksne efekte korelirane sa regresorima i endogenost koju uvodi zavisna promenljiva sa zakašnjenjem — tako što prvo primenjuje razlike da bi uklonio fiksne efekte, a zatim koristi zakašnjene nivoe zavisne promenljive kao interne instrumente.
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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). Panel Data Arellano-Bond Generalized Method of Moments Estimator. ScholarGate. https://scholargate.app/sr/econometrics/panel-arellano-bond-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 sa fiksnim efektima panelaEkonometrija↔ compare
- Model slučajnih efekata za panel podatkeEkonometrija↔ compare
- Panel GMM sistem (Blundell-Bondov estimator)Ekonometrija↔ compare
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