Robust Arellano-Bond GMM Estimator
Den robuste Arellano-Bond GMM-estimator anvender Arellano-Bonds first-difference GMM-tilgang til dynamiske paneldata, mens der beregnes heteroscedasticitets- og autokorrelationskonsistente (robuste) standardfejl. Denne kombination håndterer Nickell-bias fra forsinkede afhængige variable og giver samtidig pålidelig inferens, når fejlvarianser afviger på tværs af enheder eller perioder.
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Kilder
- 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 ↗
- Roodman, D. (2009). How to do xtabond2: An introduction to difference and system GMM in Stata. The Stata Journal, 9(1), 86-136. DOI: 10.1177/1536867X0900900106 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 3). Robust Arellano-Bond Generalized Method of Moments Estimator. ScholarGate. https://scholargate.app/da/econometrics/robust-arellano-bond-gmm
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.
- Arellano-Bond GMM-estimatorØkonometri↔ compare
- Difference GMM (Arellano-Bond Estimator)Økonometri↔ compare
- Dynamisk PaneldatamodelØkonometri↔ compare
- Arellano-Bond GMM-estimator for panelerØkonometri↔ compare
- Panel Fixed Effects ModelØkonometri↔ compare
- Panel System GMM (Blundell-Bond Estimator)Økonometri↔ compare
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