方法对比
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| 面板系统GMM（Blundell-Bond估计量）× | 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≠ | 1998 | 1991–1998 |
| 提出者≠ | Blundell & Bond (1998); Arellano & Bover (1995) | Arellano & Bond (1991); Blundell & Bond (1998) |
| 类型≠ | GMM estimator for dynamic panel data | Dynamic panel regression |
| 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 ↗ | 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 | System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM | dynamic panel model, lagged dependent variable panel model, Arellano-Bond type dynamic panel, GMM dynamic panel |
| 相关≠ | 6 | 5 |
| 摘要≠ | 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. | 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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