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| Ước lượng GMM hệ thống cho dữ liệu bảng (Ước lượng Blundell-Bond)× | Ước lượng GMM của Arellano-Bond× | |
|---|---|---|
| Lĩnh vực | Kinh tế lượng | Kinh tế lượng |
| Họ | Regression model | Regression model |
| Năm ra đời≠ | 1998 | 1991 |
| Người khởi xướng≠ | Blundell & Bond (1998); Arellano & Bover (1995) | Manuel Arellano and Stephen Bond |
| Loại | GMM estimator for dynamic panel data | GMM estimator for dynamic panel data |
| Công trình gốc≠ | 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 ↗ |
| Tên gọi khác | System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM | AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator |
| Liên quan≠ | 6 | 5 |
| Tóm tắt≠ | 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. | 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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