Comparer des méthodes

	Modèle dynamique de données de panel	Estimateur GMM d'Arellano-Bond
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1988–1991	1991
Auteur d'origine	Arellano & Bond (1991); Holtz-Eakin, Newey & Rosen (1988)	Manuel Arellano and Stephen Bond
Type	Dynamic regression / GMM estimation	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.	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	dynamic panel model, panel data model with lagged dependent variable, DPD model, Arellano-Bond model	AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator
Apparentées	5	5
Résumé	The dynamic panel data model extends standard panel regression by including a lagged value of the outcome variable as a regressor, capturing persistence and adjustment dynamics. Because the lagged dependent variable is correlated with the unit-specific fixed effect, ordinary OLS or within estimators are biased; GMM-based methods using internal instruments are the standard remedy.	The Arellano-Bond GMM estimator is the standard approach for dynamic panel data models in which the lagged dependent variable appears as a regressor. By first-differencing to remove fixed effects and using deeper lags as instruments, it yields consistent estimates even when the error is serially correlated and regressors are endogenous.