Regression model
系统GMM（Arellano-Bover / Blundell-Bond）
系统GMM是一种广义矩估计量，用于包含滞后因变量的动态面板模型。该方法由Blundell和Bond（1998）在Arellano和Bover工作的基础上提出，它在早期的差分GMM（Arellano-Bond）的差分方程基础上增加了水平方程，从而在N较大而T较小时获得一致估计。
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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 ↗
- 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 ↗
- Roodman, D. (2009). How to Do xtabond2: An Introduction to Difference and System GMM in Stata. Stata Journal, 9(1), 86-136. DOI: 10.1177/1536867X0900900106 ↗
如何引用本页
ScholarGate. (2026, June 1). System Generalized Method of Moments Estimator (Arellano-Bover / Blundell-Bond). ScholarGate. https://scholargate.app/zh/econometrics/system-gmm
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