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| Ước lượng GMM Arellano-Bond cho dữ liệu bảng× | Ước lượng GMM hệ thống cho dữ liệu bảng (Ước lượng Blundell-Bond)× | |
|---|---|---|
| Lĩnh vực | Kinh tế lượng | Kinh tế lượng |
| Họ | Regression model | Regression model |
| Năm ra đời≠ | 1991 | 1998 |
| Người khởi xướng≠ | Manuel Arellano and Stephen Bond | Blundell & Bond (1998); Arellano & Bover (1995) |
| Loại≠ | Dynamic panel GMM estimator | GMM estimator for dynamic panel data |
| Công trình gốc≠ | 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 ↗ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ |
| Tên gọi khác | Arellano-Bond GMM, AB-GMM, difference GMM estimator, dynamic panel GMM | System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM |
| Liên quan≠ | 5 | 6 |
| Tóm tắt≠ | The Arellano-Bond GMM estimator addresses the two core problems of dynamic panel models — individual fixed effects correlated with the regressors, and the endogeneity introduced by a lagged dependent variable — by first-differencing to remove fixed effects and then using lagged levels of the dependent variable as internal instruments. | 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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