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Nonlinear difference GMM

Nonlinear Difference GMM extends the Arellano-Bond difference GMM estimator to models where the structural relationship between the outcome and its predictors is inherently nonlinear. By first-differencing to eliminate individual fixed effects and then applying GMM moment conditions with lagged levels as instruments, it consistently estimates parameters in dynamic panel settings without requiring a linear functional form.

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Nonlinear Difference Generalized Method of Moments

Taksonomisk metoderegistrering · regression-model / econometrics

Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd ed.). MIT Press. · ISBN 9780262232586
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

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Same method family2SLS Regressionmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketDifference GMMmachine-suggested · Relational suggestion, not evidence.See alsoInstrumental Variables in Health Researchmachine-suggested · Relational suggestion, not evidence.Same method familyPanel Fixed Effectsmachine-suggested · Relational suggestion, not evidence.Same method familySystem GMMmachine-suggested · Relational suggestion, not evidence.