方法对比
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| 时变参数系统GMM× | 面板系统GMM（Blundell-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≠ | 1998 (System GMM); TVP extensions in applied literature thereafter | 1998 |
| 提出者≠ | Blundell & Bond (System GMM base); Cooley & Prescott (TVP framework) | Blundell & Bond (1998); Arellano & Bover (1995) |
| 类型≠ | Dynamic panel estimator with time-varying coefficients | GMM estimator for dynamic panel data |
| 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 ↗ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ |
| 别名 | TVP System GMM, time-varying System GMM, TVP-SGMM, dynamic panel TVP estimator | System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM |
| 相关 | 6 | 6 |
| 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. | 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. |
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