Comparer des méthodes

	Estimateur GMM d'Arellano-Bond à paramètres variant dans le temps	Modèle dynamique de données de panel
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1990s-2000s	1988–1991
Auteur d'origine	Extension of Arellano & Bond (1991); TVP generalisation developed in panel econometrics literature	Arellano & Bond (1991); Holtz-Eakin, Newey & Rosen (1988)
Type	Dynamic panel GMM with time-varying coefficients	Dynamic regression / GMM estimation
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	dynamic panel model, panel data model with lagged dependent variable, DPD model, Arellano-Bond model
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 dynamic panel data model extends standard panel regression by including a lagged value of the outcome variable as a regressor, capturing persistence and adjustment dynamics. Because the lagged dependent variable is correlated with the unit-specific fixed effect, ordinary OLS or within estimators are biased; GMM-based methods using internal instruments are the standard remedy.