Comparer des méthodes

	Robust Difference GMM	GMM Systémique Robuste
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991 / 2005	1998–2005
Auteur d'origine	Arellano & Bond (1991); robust inference extension via Windmeijer (2005)	Blundell & Bond (1998); robustness corrections by Windmeijer (2005)
Type	GMM estimator with robust standard errors	Panel data 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.	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 with robust standard errors, two-step system GMM, Blundell-Bond robust estimator, robust S-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.	Robust System GMM is a two-step panel data estimator that combines the difference and levels moment conditions of Blundell and Bond (1998) with Windmeijer's (2005) finite-sample correction to the two-step variance, producing valid inference even in short panels with a persistent dependent variable, individual fixed effects, and potentially endogenous regressors.