Comparer des méthodes

	Robust Difference GMM	Estimateur GMM de Arellano-Bond pour données de panel
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991 / 2005	1991
Auteur d'origine	Arellano & Bond (1991); robust inference extension via Windmeijer (2005)	Manuel Arellano and Stephen Bond
Type	GMM estimator with robust standard errors	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 Arellano-Bond estimator, difference GMM with robust SE, HAC difference GMM, AB-GMM robust	Arellano-Bond GMM, AB-GMM, difference GMM estimator, dynamic panel GMM
Apparentées	6	5
Résumé	Robust Difference GMM applies the Arellano-Bond first-difference GMM estimator with heteroscedasticity- and autocorrelation-consistent (HAC) or Windmeijer-corrected standard errors, delivering valid inference for dynamic panel models even when error variances are non-constant or residuals are cross-sectionally correlated.	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.