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| Robust Difference GMM× | Dynamisk Paneldatamodel× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1991 / 2005 | 1988–1991 |
| Ophavsperson≠ | Arellano & Bond (1991); robust inference extension via Windmeijer (2005) | Arellano & Bond (1991); Holtz-Eakin, Newey & Rosen (1988) |
| Type≠ | GMM estimator with robust standard errors | Dynamic regression / GMM estimation |
| Oprindelig kilde≠ | 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 ↗ | 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 ↗ |
| Aliasser | robust Arellano-Bond estimator, difference GMM with robust SE, HAC difference GMM, AB-GMM robust | dynamic panel model, panel data model with lagged dependent variable, DPD model, Arellano-Bond model |
| Relaterede≠ | 6 | 5 |
| Resumé≠ | 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 dynamic panel data model extends standard panel regression by including a lagged value of the outcome variable as a regressor, capturing persistence and adjustment dynamics. Because the lagged dependent variable is correlated with the unit-specific fixed effect, ordinary OLS or within estimators are biased; GMM-based methods using internal instruments are the standard remedy. |
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