Comparer des méthodes

	Difference GMM à rupture structurelle	Estimateur GMM d'Arellano-Bond
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991 / 1998	1991
Auteur d'origine	Arellano & Bond (Difference GMM); Bai & Perron (structural break testing)	Manuel Arellano and Stephen Bond
Type	Dynamic panel estimator with structural breaks	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.	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	Difference GMM with structural breaks, break-augmented Arellano-Bond GMM, dynamic panel GMM with regime shifts, structural change Difference GMM	AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator
Apparentées	6	5
Résumé	Structural Break Difference GMM extends the Arellano-Bond first-difference GMM estimator to dynamic panel settings where the data-generating process shifts at one or more unknown breakpoints. By explicitly incorporating break indicators or allowing regime-specific parameters, the estimator avoids the biased coefficient and invalid moment conditions that arise when a structural change is ignored in a standard Difference GMM fit.	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.