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Granska de valda metoderna sida vid sida; rader som skiljer sig är markerade.
| Fourier System GMM× | Panel System GMM (Blundell-Bond-skattare)× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 2000s–2010s | 1998 |
| Upphovsperson≠ | Blundell & Bond (System GMM, 1998); Fourier augmentation adapted from Gallant (1981) and Becker, Enders & Lee (2006) | Blundell & Bond (1998); Arellano & Bover (1995) |
| Typ≠ | Dynamic panel GMM with Fourier smooth-break regressors | GMM estimator for dynamic panel data |
| Ursprungskälla | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ |
| Alias | Fourier System GMM, Fourier-augmented Blundell-Bond GMM, smooth-break system GMM, Fourier SGMM | System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM |
| Närliggande | 6 | 6 |
| Sammanfattning≠ | Fourier system GMM embeds Fourier trigonometric terms into the System GMM estimator of Blundell and Bond (1998) to accommodate smooth, gradual structural breaks in dynamic panel data. By adding sine and cosine components as regressors, the estimator captures unknown, potentially multiple regime shifts without requiring prior knowledge of break dates, while preserving the instrument-based controls for endogeneity and individual fixed effects. | Panel System GMM is a two-equation GMM estimator for dynamic panel data that stacks the differenced equation (using lagged levels as instruments) with the levels equation (using lagged differences as instruments). Developed by Blundell and Bond (1998) on the foundation of Arellano and Bover (1995), it is the preferred tool when the lagged dependent variable is highly persistent or individual effects are large. |
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