Regression modelEconometrics / time series
Bayesian Difference GMM
Bayesian Difference GMM 结合了用于动态面板数据的 Arellano-Bond 一阶差分策略与贝叶斯推断框架。通过将 GMM 矩条件视为准似然函数，并为参数设置先验，该方法产生的是关于系数的完整后验分布，而非具有渐近标准误的单点估计。
阅读完整方法
仅限会员
登录使用免费账户登录即可阅读本节。
Method map
The neighbourhood of related methods — select a node to explore.
来源
- 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: 10.2307/2297968 ↗
- Chernozhukov, V., & Hong, H. (2003). An MCMC approach to classical estimation. Journal of Econometrics, 115(2), 293-346. DOI: 10.1016/S0304-4076(03)00100-3 ↗
如何引用本页
ScholarGate. (2026, June 3). Bayesian Difference Generalized Method of Moments. ScholarGate. https://scholargate.app/zh/econometrics/bayesian-difference-gmm
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- 贝叶斯动态面板数据模型计量经济学↔ compare
- 贝叶斯系统GMM计量经济学↔ compare
- 差分GMM（Arellano-Bond估计量）计量经济学↔ compare
- 动态面板数据模型计量经济学↔ compare
- 系统GMM（Arellano-Bover / Blundell-Bond）计量经济学↔ compare