Comparer des méthodes

	GMM nonlinéaire d'Arellano-Bond pour données de panel dynamiques	GMM de système (Arellano-Bover / Blundell-Bond)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991–2000s	1998
Auteur d'origine	Arellano & Bond (1991), extended to nonlinear settings by Wooldridge and others	Arellano & Bover (1995); Blundell & Bond (1998)
Type	Dynamic panel estimator	Dynamic panel data 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	nonlinear AB-GMM, dynamic nonlinear panel GMM, nonlinear difference GMM, NL-GMM dynamic panel	Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond)
Apparentées	1	4
Résumé	Nonlinear Arellano-Bond GMM extends the classic Arellano-Bond difference-GMM framework to panel models where the conditional mean function is nonlinear in parameters or variables. It uses lagged levels of the dependent variable as instruments after first-differencing to remove individual fixed effects, yielding consistent estimates in short dynamic panels with nonlinear specifications such as count, duration, or multiplicative models.	System GMM is a generalized method of moments estimator for dynamic panel models that contain a lagged dependent variable. Introduced by Blundell and Bond (1998), building on Arellano and Bover, it augments the differenced equation of the earlier difference GMM (Arellano-Bond) with the equation in levels to deliver consistent estimates when N is large and T is small.