Comparer des méthodes

	Modèle de données de panel dynamique robuste	Estimateur GMM d'Arellano-Bond
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991–2005	1991
Auteur d'origine	Arellano & Bond (1991); robust extension via Windmeijer (2005)	Manuel Arellano and Stephen Bond
Type	Dynamic panel estimator with robust inference	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. 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 dynamic panel, heteroscedasticity-robust dynamic panel, robust GMM dynamic panel, dynamic panel with robust standard errors	AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator
Apparentées	5	5
Résumé	The robust dynamic panel data model combines the dynamic panel GMM framework — which handles endogeneity from lagged dependent variables and unobserved heterogeneity — with robust covariance estimation that remains valid under heteroscedasticity and serial correlation. The Windmeijer finite-sample correction is the standard robust adjustment applied to two-step GMM estimators in this setting.	The Arellano-Bond GMM estimator is the standard approach for dynamic panel data models in which the lagged dependent variable appears as a regressor. By first-differencing to remove fixed effects and using deeper lags as instruments, it yields consistent estimates even when the error is serially correlated and regressors are endogenous.