7 快速读懂动态面板模型之 GMM 估计（xtdpdgmm).pdf
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知识搬运工：三农硕士（人大经济论坛 ID）
一文读懂动态面板模型之 GMM 估计（xtdpdgmm)
前言：
xtdpdgmm 实现了线性动态面板数据模型的广义矩法(GMM)估计。除了 Arellano and Bond
(1991), Arellano and Bover (1995), and Blundell and Bond (1998)可以实现线性矩条件的
GMM 估计，xtdpdgmm 也可以合并 Ahn and Schmidt(1995)提出的非线性矩条件。后者对于
高持久性数据，可以产生更好的以及稳健结果。
1
动态面板数据命令回顾
December 15, 2000: Stata 7 released with the new xtabond command for the
Arellano and Bond (1991) difference GMM (diff-GMM) estimation.
November 26, 2003: David Roodman announced the community-contributed
xtabond2 command for Arellano and Bover (1995) and Blundell and Bond (1998) system
GMM (sys-GMM) estimation.
June 25, 2007: Stata 10 released with the new xtdpdsys command for sys-GMM
estimation. Both xtabond and xtdpdsys are wrappers for the xtdpd command.
March 2009: David Roodman’s “How to do xtabond2” article appeared in the Stata
Journal.
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