Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Diferencias Generalizadas de Momentos Robusto (Robust Difference GMM)× | Robust System GMM× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1991 / 2005 | 1998–2005 |
| Autor original≠ | Arellano & Bond (1991); robust inference extension via Windmeijer (2005) | Blundell & Bond (1998); robustness corrections by Windmeijer (2005) |
| Tipo≠ | GMM estimator with robust standard errors | Panel data GMM 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 ↗ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ |
| Alias | robust Arellano-Bond estimator, difference GMM with robust SE, HAC difference GMM, AB-GMM robust | system GMM with robust standard errors, two-step system GMM, Blundell-Bond robust estimator, robust S-GMM |
| Relacionados≠ | 6 | 5 |
| Resumen≠ | Robust Difference GMM applies the Arellano-Bond first-difference GMM estimator with heteroscedasticity- and autocorrelation-consistent (HAC) or Windmeijer-corrected standard errors, delivering valid inference for dynamic panel models even when error variances are non-constant or residuals are cross-sectionally correlated. | Robust System GMM is a two-step panel data estimator that combines the difference and levels moment conditions of Blundell and Bond (1998) with Windmeijer's (2005) finite-sample correction to the two-step variance, producing valid inference even in short panels with a persistent dependent variable, individual fixed effects, and potentially endogenous regressors. |
| ScholarGateConjunto de datos ↗ |
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