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 | 1991–1998 |
| 提出者≠ | Blundell & Bond (System GMM base); Cooley & Prescott (TVP framework) | Arellano & Bond (1991); Blundell & Bond (1998) |
| 类型≠ | Dynamic panel estimator with time-varying coefficients | 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 | TVP System GMM, time-varying System GMM, TVP-SGMM, dynamic panel TVP estimator | dynamic panel model, lagged dependent variable panel model, Arellano-Bond type dynamic panel, GMM dynamic panel |
| 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 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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