Comparer des méthodes

	Robust Difference GMM	Estimateur GMM systémique (Estimateur de Blundell-Bond)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991 / 2005	1998
Auteur d'origine	Arellano & Bond (1991); robust inference extension via Windmeijer (2005)	Blundell & Bond (1998); Arellano & Bover (1995)
Type	GMM estimator with robust standard errors	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. The Review of Economic Studies, 58(2), 277-297.	Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143.
Alias	robust Arellano-Bond estimator, difference GMM with robust SE, HAC difference GMM, AB-GMM robust	System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM
Apparentées	6	6
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.	Panel System GMM is a two-equation GMM estimator for dynamic panel data that stacks the differenced equation (using lagged levels as instruments) with the levels equation (using lagged differences as instruments). Developed by Blundell and Bond (1998) on the foundation of Arellano and Bover (1995), it is the preferred tool when the lagged dependent variable is highly persistent or individual effects are large.