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| Bayesian System GMM× | Difference GMM (Arellano-Bond-skattning)× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1998–2010 | 1991 |
| Upphovsperson≠ | Blundell & Bond (System GMM, 1998); Bayesian integration via Chib and related MCMC literature | Manuel Arellano and Stephen Bond |
| Typ≠ | Bayesian dynamic panel estimator | GMM panel estimator |
| Ursprungskälla≠ | 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 ↗ |
| Alias | Bayesian Sys-GMM, Bayesian BB estimator, Bayesian Blundell-Bond GMM, B-SGMM | Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator |
| Närliggande | 5 | 5 |
| Sammanfattning≠ | 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. | Difference GMM, introduced by Arellano and Bond (1991), estimates dynamic panel data models by first-differencing the equation to remove fixed effects, then using lagged levels of the endogenous variables as GMM instruments. It is the standard approach when a lagged dependent variable or other endogenous regressors are present in a panel with many units and few time periods. |
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