Comparer des méthodes

	Difference GMM à rupture structurelle	Estimateur GMM par différences (Estimateur 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 panel 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	Difference GMM with structural breaks, break-augmented Arellano-Bond GMM, dynamic panel GMM with regime shifts, structural change Difference GMM	Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM 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.	Difference GMM, introduced by Arellano and Bond (1991), estimates dynamic panel data models by first-differencing the equation to remove fixed effects, then using lagged levels of the endogenous variables as GMM instruments. It is the standard approach when a lagged dependent variable or other endogenous regressors are present in a panel with many units and few time periods.