Porovnat metody

	Robust Difference GMM	Odhadovač GMM Arellana-Bonda pro panelová data
Obor	Ekonometrie	Ekonometrie
Rodina	Regression model	Regression model
Rok vzniku	1991 / 2005	1991
Tvůrce	Arellano & Bond (1991); robust inference extension via Windmeijer (2005)	Manuel Arellano and Stephen Bond
Typ	GMM estimator with robust standard errors	Dynamic panel GMM estimator
Původní zdroj	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.	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.
Další názvy	robust Arellano-Bond estimator, difference GMM with robust SE, HAC difference GMM, AB-GMM robust	Arellano-Bond GMM, AB-GMM, difference GMM estimator, dynamic panel GMM
Příbuzné	6	5
Shrnutí	Robust Difference GMM applies the Arellano-Bond first-difference GMM estimator with heteroscedasticity- and autocorrelation-consistent (HAC) or Windmeijer-corrected standard errors, delivering valid inference for dynamic panel models even when error variances are non-constant or residuals are cross-sectionally correlated.	The Arellano-Bond GMM estimator addresses the two core problems of dynamic panel models — individual fixed effects correlated with the regressors, and the endogeneity introduced by a lagged dependent variable — by first-differencing to remove fixed effects and then using lagged levels of the dependent variable as internal instruments.