Comparar métodos

	Estimador de Variables Instrumentales de Anderson-Hsiao	System GMM (Arellano-Bover / Blundell-Bond)
Campo	Econometría	Econometría
Familia	Regression model	Regression model
Año de origen	1981	1998
Autor original	Theodore Anderson & Cheng Hsiao	Arellano & Bover (1995); Blundell & Bond (1998)
Tipo	Instrumental variables estimator for dynamic panel data	Dynamic panel data estimator
Fuente seminal	Anderson, T. W., & Hsiao, C. (1981). Estimation of dynamic models with error components. Journal of the American Statistical Association, 76(375), 598–606.	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.
Alias	Anderson-Hsiao Estimator, AH IV Estimator, Dynamic Panel IV Estimator, Anderson-Hsiao Araçsal Değişken Tahmincisi	Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond)
Relacionados	2	4
Resumen	The Anderson-Hsiao IV estimator is a method for consistently estimating dynamic panel data models that include a lagged dependent variable as a regressor. Proposed by Theodore Anderson and Cheng Hsiao in 1981, it resolves the Nickell bias that arises when fixed effects are eliminated by first-differencing, by instrumenting the differenced lagged dependent variable with its own second lag in levels or differences.	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.