Comparer des méthodes

	Estimateur GMM robuste d'Arellano-Bond	Estimateur GMM par différences (Estimateur d'Arellano-Bond)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991	1991
Auteur d'origine	Arellano & Bond (1991); robust inference extensions by Windmeijer (2005)	Manuel Arellano and Stephen Bond
Type	Dynamic panel GMM estimator with robust inference	GMM panel 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	Robust Difference GMM, AB-GMM with robust standard errors, Robust first-difference GMM, Arellano-Bond robust estimator	Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator
Apparentées	6	5
Résumé	The Robust Arellano-Bond GMM estimator applies the Arellano-Bond first-difference GMM approach to dynamic panel data while computing heteroscedasticity- and autocorrelation-consistent (robust) standard errors. This combination handles the Nickell bias from lagged dependent variables and simultaneously yields reliable inference when error variances differ across units or periods.	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.