方法对比
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| 时变参数系统GMM× | 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 (System GMM); TVP extensions in applied literature thereafter | 1988–1991 |
| 提出者≠ | Blundell & Bond (System GMM base); Cooley & Prescott (TVP framework) | Arellano & Bond (1991); Holtz-Eakin, Newey & Rosen (1988) |
| 类型≠ | Dynamic panel estimator with time-varying coefficients | Dynamic regression / GMM estimation |
| 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 | TVP System GMM, time-varying System GMM, TVP-SGMM, dynamic panel TVP estimator | dynamic panel model, panel data model with lagged dependent variable, DPD model, Arellano-Bond model |
| 相关≠ | 6 | 5 |
| 摘要≠ | Time-Varying Parameter System GMM extends the Blundell-Bond System Generalized Method of Moments estimator to allow regression coefficients to change over time. By combining the instrument-based correction for dynamic endogeneity with a time-varying coefficient structure, the method captures both the persistence of the lagged dependent variable and structural shifts in the effect of regressors across periods. | The dynamic panel data model extends standard panel regression by including a lagged value of the outcome variable as a regressor, capturing persistence and adjustment dynamics. Because the lagged dependent variable is correlated with the unit-specific fixed effect, ordinary OLS or within estimators are biased; GMM-based methods using internal instruments are the standard remedy. |
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