Regression modelEconometrics / time series
结构断裂动态面板数据模型
结构断裂动态面板数据模型在标准动态面板框架的基础上进行扩展，允许回归系数或自回归参数在一个或多个未知断裂日期发生变化。它结合了基于GMM的动态面板估计与正式的结构变化检验，使研究者能够在控制了不可观测的个体异质性和滞后因变量的内生性后，研究经济关系在不同制度下的演变情况。
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来源
- Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI: 10.2307/2998540 ↗
- 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 ↗
如何引用本页
ScholarGate. (2026, June 3). Dynamic Panel Data Model with Structural Breaks. ScholarGate. https://scholargate.app/zh/econometrics/structural-break-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.
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- 面板向量误差修正模型 (Panel VECM)计量经济学↔ compare
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- Zivot-Andrews 结构性断点检验计量经济学↔ compare