方法对比
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| 傅里叶系统GMM× | 面板系统GMM（Blundell-Bond估计量）× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2000s–2010s | 1998 |
| 提出者≠ | Blundell & Bond (System GMM, 1998); Fourier augmentation adapted from Gallant (1981) and Becker, Enders & Lee (2006) | Blundell & Bond (1998); Arellano & Bover (1995) |
| 类型≠ | Dynamic panel GMM with Fourier smooth-break regressors | GMM estimator for dynamic panel data |
| 开创性文献 | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ |
| 别名 | Fourier System GMM, Fourier-augmented Blundell-Bond GMM, smooth-break system GMM, Fourier SGMM | System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM |
| 相关 | 6 | 6 |
| 摘要≠ | Fourier system GMM embeds Fourier trigonometric terms into the System GMM estimator of Blundell and Bond (1998) to accommodate smooth, gradual structural breaks in dynamic panel data. By adding sine and cosine components as regressors, the estimator captures unknown, potentially multiple regime shifts without requiring prior knowledge of break dates, while preserving the instrument-based controls for endogeneity and individual fixed effects. | 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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