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| Système GMM avec rupture structurelle× | Estimateur GMM d'Arellano-Bond× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1998–2003 | 1991 |
| Auteur d'origine≠ | Blundell & Bond (System GMM); Bai & Perron (structural break framework) | Manuel Arellano and Stephen Bond |
| Type≠ | Dynamic panel estimator with regime change | GMM estimator for dynamic panel data |
| Source fondatrice≠ | Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. DOI ↗ | 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. DOI ↗ |
| Alias | System GMM with structural breaks, SB-SGMM, break-augmented System GMM, System GMM structural change estimator | AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator |
| Apparentées≠ | 6 | 5 |
| Résumé≠ | Structural Break System GMM extends the Blundell-Bond System GMM estimator for dynamic panel data by explicitly accounting for structural breaks — abrupt regime changes in slopes, intercepts, or dynamics — that, if ignored, bias the coefficient estimates and invalidate the moment conditions that underpin standard GMM inference. | 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. |
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