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| Ước lượng Hệ thống GMM Mạnh mẽ× | System GMM (Arellano-Bover / Blundell-Bond)× | |
|---|---|---|
| Lĩnh vực | Kinh tế lượng | Kinh tế lượng |
| Họ | Regression model | Regression model |
| Năm ra đời≠ | 1998–2005 | 1998 |
| Người khởi xướng≠ | Blundell & Bond (1998); robustness corrections by Windmeijer (2005) | Arellano & Bover (1995); Blundell & Bond (1998) |
| Loại≠ | Panel data GMM estimator | Dynamic panel data estimator |
| 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 with robust standard errors, two-step system GMM, Blundell-Bond robust estimator, robust S-GMM | Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond) |
| Liên quan≠ | 5 | 4 |
| Tóm tắt≠ | Robust System GMM is a two-step panel data estimator that combines the difference and levels moment conditions of Blundell and Bond (1998) with Windmeijer's (2005) finite-sample correction to the two-step variance, producing valid inference even in short panels with a persistent dependent variable, individual fixed effects, and potentially endogenous regressors. | 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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