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| Bayesian Difference GMM× | System GMM (Arellano-Bover / Blundell-Bond)× | |
|---|---|---|
| Lĩnh vực | Kinh tế lượng | Kinh tế lượng |
| Họ | Regression model | Regression model |
| Năm ra đời≠ | 1991/2003 | 1998 |
| Người khởi xướng≠ | Arellano & Bond (1991) for Difference GMM; Chernozhukov & Hong (2003) for Bayesian GMM framework | Arellano & Bover (1995); Blundell & Bond (1998) |
| Loại≠ | Dynamic panel estimator (Bayesian) | Dynamic panel data estimator |
| Công trình gốc≠ | Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies, 58(2), 277-297. 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 ↗ |
| Tên gọi khác | Bayesian Arellano-Bond estimator, Bayesian difference GMM, quasi-Bayesian difference GMM, Bayesian first-difference GMM | Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond) |
| Liên quan≠ | 5 | 4 |
| Tóm tắt≠ | Bayesian Difference GMM combines the Arellano-Bond first-differencing strategy for dynamic panel data with a Bayesian inference framework. By treating the GMM moment conditions as a quasi-likelihood and placing priors on parameters, the approach produces a full posterior distribution over coefficients rather than a single point estimate with asymptotic standard errors. | System GMM is a generalized method of moments estimator for dynamic panel models that contain a lagged dependent variable. Introduced by Blundell and Bond (1998), building on Arellano and Bover, it augments the differenced equation of the earlier difference GMM (Arellano-Bond) with the equation in levels to deliver consistent estimates when N is large and T is small. |
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