Σύγκριση μεθόδων

	Εκτιμητής GMM Arellano-Bond	Εκτιμητής GMM Διαφορών (Arellano-Bond)
Πεδίο	Οικονομετρία	Οικονομετρία
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	1991	1991
Δημιουργός	Manuel Arellano and Stephen Bond	Manuel Arellano and Stephen Bond
Τύπος	GMM estimator for dynamic panel data	GMM panel estimator
Θεμελιώδης πηγή	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.	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.
Εναλλακτικές ονομασίες	AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator	Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator
Συναφείς	5	5
Σύνοψη	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.	Difference GMM, introduced by Arellano and Bond (1991), estimates dynamic panel data models by first-differencing the equation to remove fixed effects, then using lagged levels of the endogenous variables as GMM instruments. It is the standard approach when a lagged dependent variable or other endogenous regressors are present in a panel with many units and few time periods.