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| 时变参数Arellano-Bond GMM× | 时变参数向量自回归模型 (TVP-VAR)× | |
|---|---|---|
| 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 | 2005 |
| 提出者≠ | Extension of Arellano & Bond (1991); TVP generalisation developed in panel econometrics literature | Primiceri (2005); Cogley & Sargent (2001, 2005) |
| 类型≠ | Dynamic panel GMM with time-varying coefficients | Multivariate time-series model with drifting coefficients |
| 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 ↗ | Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821-852. DOI ↗ |
| 别名 | TVP Arellano-Bond GMM, TVP-AB GMM, time-varying coefficient dynamic panel GMM, state-space Arellano-Bond estimator | TVP-VAR, time-varying VAR, TV-VAR, drifting-coefficient VAR |
| 相关 | 6 | 6 |
| 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. | The Time-Varying Parameter VAR (TVP-VAR) model extends the standard vector autoregression by allowing the coefficients and error covariances to evolve gradually over time. Estimated via Bayesian methods and MCMC simulation, it captures how dynamic relationships between macroeconomic or financial variables shift across different economic regimes without requiring pre-specified break points. |
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