Comparer des méthodes

	Estimateur GMM d'Arellano-Bond à paramètres variant dans le temps	Estimateur GMM d'Arellano-Bond
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1990s-2000s	1991
Auteur d'origine	Extension of Arellano & Bond (1991); TVP generalisation developed in panel econometrics literature	Manuel Arellano and Stephen Bond
Type	Dynamic panel GMM with time-varying coefficients	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	TVP Arellano-Bond GMM, TVP-AB GMM, time-varying coefficient dynamic panel GMM, state-space Arellano-Bond estimator	AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator
Apparentées	6	5
Résumé	The time-varying parameter Arellano-Bond GMM (TVP-AB GMM) is a dynamic panel estimator that extends the classic Arellano-Bond difference GMM framework by allowing regression coefficients to evolve over time. It addresses both individual fixed effects and the endogeneity of lagged dependent variables, while accommodating structural change and parameter instability across the sample period.	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.