方法对比
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| 非线性动态面板数据模型× | 系统GMM（Arellano-Bover / Blundell-Bond）× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1981-2005 | 1998 |
| 提出者≠ | Wooldridge (2005); Honore & Tamer (2006); building on Heckman (1981) | Arellano & Bover (1995); Blundell & Bond (1998) |
| 类型≠ | Dynamic panel estimator with nonlinear response | Dynamic panel data estimator |
| 开创性文献≠ | Wooldridge, J. M. (2005). Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity. Journal of Applied Econometrics, 20(1), 39-54. 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 ↗ |
| 别名 | nonlinear dynamic panel, dynamic nonlinear panel estimator, NDPDM, nonlinear panel with lagged dependent variable | Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond) |
| 相关≠ | 3 | 4 |
| 摘要≠ | The nonlinear dynamic panel data model extends standard panel methods to settings where the outcome is binary, count-valued, or censored and where past realizations of the outcome directly affect current ones. It handles unobserved individual heterogeneity alongside state dependence, disentangling genuine persistence from spurious persistence driven by unmeasured unit characteristics. | 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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