Comparer des méthodes

	Estimateur GMM par différences (Estimateur d'Arellano-Bond)	Estimateur GMM systémique (Estimateur de Blundell-Bond)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991	1998
Auteur d'origine	Manuel Arellano and Stephen Bond	Blundell & Bond (1998); Arellano & Bover (1995)
Type	GMM panel estimator	GMM estimator for dynamic panel data
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.	Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143.
Alias	Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator	System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM
Apparentées	5	6
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 System GMM is a two-equation GMM estimator for dynamic panel data that stacks the differenced equation (using lagged levels as instruments) with the levels equation (using lagged differences as instruments). Developed by Blundell and Bond (1998) on the foundation of Arellano and Bover (1995), it is the preferred tool when the lagged dependent variable is highly persistent or individual effects are large.