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| Fouriers dynamiska paneldatamodell× | Arellano-Bond GMM-estimator× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 2004-2012 | 1991 |
| Upphovsperson≠ | Enders & Lee (2012); Becker, Enders & Hurn (2004) | Manuel Arellano and Stephen Bond |
| Typ≠ | Dynamic panel model with Fourier approximation | GMM estimator for dynamic panel data |
| Ursprungskälla≠ | Enders, W., & Lee, J. (2012). A unit root test using a Fourier series to approximate smooth breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574-599. 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 | Fourier dynamic panel, Fourier DPDM, smooth break dynamic panel, trigonometric dynamic panel | AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator |
| Närliggande≠ | 6 | 5 |
| Sammanfattning≠ | The Fourier dynamic panel data model extends standard dynamic panel specifications by incorporating low-frequency trigonometric (Fourier) terms to flexibly capture smooth, gradual structural breaks or time-varying patterns in the data, without requiring knowledge of the exact number or timing of breaks. | The Arellano-Bond GMM estimator is the standard approach for dynamic panel data models in which the lagged dependent variable appears as a regressor. By first-differencing to remove fixed effects and using deeper lags as instruments, it yields consistent estimates even when the error is serially correlated and regressors are endogenous. |
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