方法对比
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| 面板自回归（面板AR）模型× | 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≠ | 1980s-2000s | 1991–1998 |
| 提出者≠ | Hsiao, C.; Arellano, M. | Arellano & Bond (1991); Blundell & Bond (1998) |
| 类型≠ | Autoregressive time-series model for panel data | Dynamic panel regression |
| 开创性文献≠ | Hsiao, C. (2003). Analysis of Panel Data (2nd ed.). Cambridge University Press. ISBN: 978-0521522717 | 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 | panel autoregressive model, PAR model, AR model for panel data, panel AR(p) | dynamic panel model, lagged dependent variable panel model, Arellano-Bond type dynamic panel, GMM dynamic panel |
| 相关 | 5 | 5 |
| 摘要≠ | The Panel AR model extends the classical univariate autoregressive model to panel data, capturing how each unit's own past values predict its current value while controlling for unobserved individual heterogeneity through fixed or random effects. It is foundational for modelling dynamic persistence in micro or macro panel datasets. | The dynamic panel data model extends standard panel regression by including one or more lagged values of the outcome variable as regressors. Because past outcomes directly predict current outcomes, the model captures persistence and adjustment dynamics — but it also introduces a correlation between the lagged dependent variable and the individual fixed effect, rendering OLS and standard fixed-effects estimators inconsistent. GMM-based approaches developed by Arellano-Bond and Blundell-Bond resolve this problem. |
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