Regression modelEconometrics / time series
动态面板数据模型
动态面板数据模型通过将结果变量的滞后值包含为回归量来扩展标准面板回归，从而捕捉持久性和调整动态。由于滞后因变量与单位特定固定效应相关，普通OLS或固定效应估计量存在偏差；基于GMM的方法使用内部工具变量是标准的补救措施。
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来源
- 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: 10.2307/2297968 ↗
- Hsiao, C. (2003). Analysis of Panel Data (2nd ed.). Cambridge University Press. ISBN: 978-0521522717
如何引用本页
ScholarGate. (2026, June 3). Dynamic Panel Data Model. ScholarGate. https://scholargate.app/zh/econometrics/dynamic-panel-data-model
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.
- Arellano-Bond GMM 估计量计量经济学↔ compare
- 差分GMM（Arellano-Bond估计量）计量经济学↔ compare
- 固定效应模型计量经济学↔ compare
- 面板数据分析计量经济学↔ compare
- 面板固定效应模型计量经济学↔ compare