Comparer des méthodes

	GMM Différence Bayésien	Estimateur GMM par différences (Estimateur d'Arellano-Bond)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991/2003	1991
Auteur d'origine	Arellano & Bond (1991) for Difference GMM; Chernozhukov & Hong (2003) for Bayesian GMM framework	Manuel Arellano and Stephen Bond
Type	Dynamic panel estimator (Bayesian)	GMM panel estimator
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.	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	Bayesian Arellano-Bond estimator, Bayesian difference GMM, quasi-Bayesian difference GMM, Bayesian first-difference GMM	Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator
Apparentées	5	5
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.	Difference GMM, introduced by Arellano and Bond (1991), estimates dynamic panel data models by first-differencing the equation to remove fixed effects, then using lagged levels of the endogenous variables as GMM instruments. It is the standard approach when a lagged dependent variable or other endogenous regressors are present in a panel with many units and few time periods.