Comparer des méthodes

	GMM Différence Bayésien	Modèle bayésien de données de panel dynamique
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991/2003	2002–2007
Auteur d'origine	Arellano & Bond (1991) for Difference GMM; Chernozhukov & Hong (2003) for Bayesian GMM framework	Hsiao, Pesaran, Tahmiscioglu; Arellano & Bonhomme
Type	Dynamic panel estimator (Bayesian)	Bayesian panel model
Source fondatrice	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.	Hsiao, C., Pesaran, M. H., & Tahmiscioglu, A. K. (2002). Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods. Journal of Econometrics, 109(1), 107–150.
Alias	Bayesian Arellano-Bond estimator, Bayesian difference GMM, quasi-Bayesian difference GMM, Bayesian first-difference GMM	Bayesian DPD model, Bayesian lagged dependent variable panel model, Bayesian autoregressive panel model, B-DPD
Apparentées	5	6
Résumé	Bayesian Difference GMM combines the Arellano-Bond first-differencing strategy for dynamic panel data with a Bayesian inference framework. By treating the GMM moment conditions as a quasi-likelihood and placing priors on parameters, the approach produces a full posterior distribution over coefficients rather than a single point estimate with asymptotic standard errors.	The Bayesian dynamic panel data model extends standard dynamic panel models — which include a lagged dependent variable to capture state dependence — by estimating all parameters within a Bayesian framework. Prior distributions are combined with the likelihood to yield a full posterior distribution over model parameters, enabling probabilistic inference and coherent uncertainty quantification even in short panels.