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| Estimador GMM Robusto de Arellano-Bond× | Modelo de efectos fijos en panel× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1991 | 1978 |
| Autor original≠ | Arellano & Bond (1991); robust inference extensions by Windmeijer (2005) | Mundlak (1978); classical treatment in Wooldridge (2010) and Baltagi (2021) |
| Tipo≠ | Dynamic panel GMM estimator with robust inference | Panel regression estimator |
| Fuente seminal≠ | Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies, 58(2), 277-297. DOI ↗ | Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd ed.). MIT Press. ISBN: 978-0262232586 |
| Alias | Robust Difference GMM, AB-GMM with robust standard errors, Robust first-difference GMM, Arellano-Bond robust estimator | within estimator, FE model, within-group estimator, LSDV model |
| Relacionados≠ | 6 | 5 |
| Resumen≠ | The Robust Arellano-Bond GMM estimator applies the Arellano-Bond first-difference GMM approach to dynamic panel data while computing heteroscedasticity- and autocorrelation-consistent (robust) standard errors. This combination handles the Nickell bias from lagged dependent variables and simultaneously yields reliable inference when error variances differ across units or periods. | The panel fixed effects (FE) model controls for all time-invariant, unit-specific unobserved heterogeneity by absorbing it into individual intercepts. By sweeping out unit means through the within transformation, FE yields unbiased estimates of the effect of time-varying regressors even when omitted unit-level confounders are correlated with those regressors. |
| ScholarGateConjunto de datos ↗ |
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