Regression model
System GMM (Arellano-Bover / Blundell-Bond)
System GMM is a generalized method of moments estimator for dynamic panel models that contain a lagged dependent variable. Introduced by Blundell and Bond (1998), building on Arellano and Bover, it augments the differenced equation of the earlier difference GMM (Arellano-Bond) with the equation in levels to deliver consistent estimates when N is large and T is small.
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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 ↗
- Blundell, R. & Bond, S. (1998). Initial Conditions and Moment Restrictions in Dynamic Panel Data Models. Journal of Econometrics, 87(1), 115-143. DOI: 10.1016/S0304-4076(98)00009-8 ↗
- 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
Anderson-Hsiao IVBayesian Difference GMMFixed Effects Panel ModelNARDL ModelNonlinear Arellano-Bond GMMNonlinear difference GMMNonlinear Dynamic Panel Data ModelPanel Fixed EffectsRobust System GMMSeemingly Unrelated RegressionStructural Break Difference GMMStructural Break System GMMThree-Stage Least SquaresTime-varying parameter difference GMM