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| Estimateur GMM par différences (Estimateur d'Arellano-Bond)× | Analyse de données de panel× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1991 | 1966–1978 |
| Auteur d'origine≠ | Manuel Arellano and Stephen Bond | Balestra & Nerlove (1966); Mundlak (1978); Hausman (1978) |
| Type≠ | GMM panel estimator | Panel regression framework |
| Source fondatrice≠ | 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. DOI ↗ | Baltagi, B. H. (2021). Econometric Analysis of Panel Data (6th ed.). Springer. ISBN: 978-3030539528 |
| Alias | Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator | longitudinal data analysis, pooled cross-sectional time-series analysis, panel regression, data panel analysis |
| Apparentées | 5 | 5 |
| Résumé≠ | 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. | Panel data analysis models data that track multiple units — countries, firms, individuals — over time, enabling researchers to control for unobserved unit-level heterogeneity that would otherwise bias cross-sectional or time-series estimates. The two core specifications are fixed effects and random effects, selected via the Hausman test. |
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