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| Arellano-Bond GMM-Schätzer für Panels× | Arellano-Bond GMM-Schätzer× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr | 1991 | 1991 |
| Urheber | Manuel Arellano and Stephen Bond | Manuel Arellano and Stephen Bond |
| Typ≠ | Dynamic panel GMM estimator | GMM estimator for dynamic panel data |
| Wegweisende Quelle≠ | 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 ↗ | 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 ↗ |
| Aliasnamen | Arellano-Bond GMM, AB-GMM, difference GMM estimator, dynamic panel GMM | AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator |
| Verwandt | 5 | 5 |
| Zusammenfassung≠ | 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. | The Arellano-Bond GMM estimator is the standard approach for dynamic panel data models in which the lagged dependent variable appears as a regressor. By first-differencing to remove fixed effects and using deeper lags as instruments, it yields consistent estimates even when the error is serially correlated and regressors are endogenous. |
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