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一个或多个滞后值作为回归变量纳入，扩展了标准面板回归模型。由于过去的产出直接预测当前的产出，该模型捕捉了持久性和调整动态——但它也引入了滞后因变量与个体固定效应之间的相关性，导致OLS和标准固定效应估计量不一致。Arellano-Bond和Blundell-Bond开发的基于GMM的方法解决了这个问题。
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. Review of Economic Studies, 58(2), 277–297. DOI: 10.2307/2297968 ↗
- Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI: 10.1016/S0304-4076(98)00009-8 ↗
如何引用本页
ScholarGate. (2026, June 3). Dynamic Panel Data Model. ScholarGate. https://scholargate.app/zh/econometrics/panel-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
- 动态面板数据模型计量经济学↔ compare
- 面板固定效应模型计量经济学↔ compare
- 面板随机效应模型计量经济学↔ compare
- 面板系统GMM（Blundell-Bond估计量）计量经济学↔ compare