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| Bayesian Difference GMM× | 贝叶斯动态面板数据模型× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1991/2003 | 2002–2007 |
| 提出者≠ | Arellano & Bond (1991) for Difference GMM; Chernozhukov & Hong (2003) for Bayesian GMM framework | Hsiao, Pesaran, Tahmiscioglu; Arellano & Bonhomme |
| 类型≠ | Dynamic panel estimator (Bayesian) | Bayesian panel model |
| 开创性文献≠ | 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 ↗ | Hsiao, C., Pesaran, M. H., & Tahmiscioglu, A. K. (2002). Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods. Journal of Econometrics, 109(1), 107–150. DOI ↗ |
| 别名 | Bayesian Arellano-Bond estimator, Bayesian difference GMM, quasi-Bayesian difference GMM, Bayesian first-difference GMM | Bayesian DPD model, Bayesian lagged dependent variable panel model, Bayesian autoregressive panel model, B-DPD |
| 相关≠ | 5 | 6 |
| 摘要≠ | 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. | The Bayesian dynamic panel data model extends standard dynamic panel models — which include a lagged dependent variable to capture state dependence — by estimating all parameters within a Bayesian framework. Prior distributions are combined with the likelihood to yield a full posterior distribution over model parameters, enabling probabilistic inference and coherent uncertainty quantification even in short panels. |
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