Comparer des méthodes

	Estimateur GMM robuste d'Arellano-Bond	Estimateur GMM de Arellano-Bond pour données de panel
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	Dynamic panel GMM 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 GMM, AB-GMM, difference GMM estimator, dynamic panel GMM
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 Arellano-Bond GMM estimator addresses the two core problems of dynamic panel models — individual fixed effects correlated with the regressors, and the endogeneity introduced by a lagged dependent variable — by first-differencing to remove fixed effects and then using lagged levels of the dependent variable as internal instruments.