Comparer des méthodes

	Modèle de données de panel dynamique	Estimateur GMM d'Arellano-Bond
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991–1998	1991
Auteur d'origine	Arellano & Bond (1991); Blundell & Bond (1998)	Manuel Arellano and Stephen Bond
Type	Dynamic panel regression	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, lagged dependent variable panel model, Arellano-Bond type dynamic panel, GMM dynamic panel	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 one or more lagged values of the outcome variable as regressors. Because past outcomes directly predict current outcomes, the model captures persistence and adjustment dynamics — but it also introduces a correlation between the lagged dependent variable and the individual fixed effect, rendering OLS and standard fixed-effects estimators inconsistent. GMM-based approaches developed by Arellano-Bond and Blundell-Bond resolve this problem.	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.