方法对比
并排查看您选择的方法；存在差异的行会高亮显示。
| 时变参数Arellano-Bond GMM× | 差分GMM（Arellano-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≠ | 1990s-2000s | 1991 |
| 提出者≠ | Extension of Arellano & Bond (1991); TVP generalisation developed in panel econometrics literature | Manuel Arellano and Stephen Bond |
| 类型≠ | Dynamic panel GMM with time-varying coefficients | GMM panel estimator |
| 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 ↗ | 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 | TVP Arellano-Bond GMM, TVP-AB GMM, time-varying coefficient dynamic panel GMM, state-space Arellano-Bond estimator | Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator |
| 相关≠ | 6 | 5 |
| 摘要≠ | The time-varying parameter Arellano-Bond GMM (TVP-AB GMM) is a dynamic panel estimator that extends the classic Arellano-Bond difference GMM framework by allowing regression coefficients to evolve over time. It addresses both individual fixed effects and the endogeneity of lagged dependent variables, while accommodating structural change and parameter instability across the sample period. | Difference GMM, introduced by Arellano and Bond (1991), estimates dynamic panel data models by first-differencing the equation to remove fixed effects, then using lagged levels of the endogenous variables as GMM instruments. It is the standard approach when a lagged dependent variable or other endogenous regressors are present in a panel with many units and few time periods. |
| ScholarGate数据集 ↗ |
|
|