Comparer des méthodes

	Estimateur GMM robuste d'Arellano-Bond	Modèle dynamique de données de panel
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991	1988–1991
Auteur d'origine	Arellano & Bond (1991); robust inference extensions by Windmeijer (2005)	Arellano & Bond (1991); Holtz-Eakin, Newey & Rosen (1988)
Type	Dynamic panel GMM estimator with robust inference	Dynamic regression / GMM estimation
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	dynamic panel model, panel data model with lagged dependent variable, DPD model, Arellano-Bond model
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.	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.