Regression modelEconometrics / time series
Difference GMM (Arellano-Bond Estimator)
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.
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Sources
- 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 ↗
- Roodman, D. (2009). How to do xtabond2: An introduction to difference and system GMM in Stata. Stata Journal, 9(1), 86–136. DOI: 10.1177/1536867X0900900106 ↗
Related methods
Referenced by
Arellano-Bond GMM estimatorBayesian Difference GMMBayesian System GMMDynamic Panel Data ModelNonlinear difference GMMPanel Fixed Effects ModelPanel System GMMRobust Arellano-Bond GMMRobust Difference GMMRobust System GMMStructural Break Difference GMMStructural Break System GMMTime-varying parameter Arellano-Bond GMMTime-varying parameter difference GMM