Regression modelEconometrics / time series
非线性差分GMM
非线性差分GMM将Arellano-Bond差分GMM估计量扩展到结果变量与其预测变量之间结构关系本质上非线性的模型。通过一阶差分消除个体固定效应，然后应用以滞后水平值为工具变量的GMM矩条件，可以在动态面板设置中一致地估计参数，而无需线性函数形式。
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来源
- Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd ed.). MIT Press. ISBN: 9780262232586
- 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 ↗
如何引用本页
ScholarGate. (2026, June 3). Nonlinear Difference Generalized Method of Moments. ScholarGate. https://scholargate.app/zh/econometrics/nonlinear-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.
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