Comparer des méthodes

	GMM en différences à paramètres variant dans le temps	GMM de système (Arellano-Bover / Blundell-Bond)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2000s–2010s	1998
Auteur d'origine	Extends Arellano & Bond (1991) difference GMM; TVP panel extensions developed in the 2000s–2010s literature	Arellano & Bover (1995); Blundell & Bond (1998)
Type	Dynamic panel estimator with time-varying parameters	Dynamic panel data 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	TVP-DGMM, time-varying GMM, TVP difference GMM, dynamic panel TVP estimator	Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond)
Apparentées	3	4
Résumé	Time-varying parameter difference GMM combines the Arellano-Bond first-difference GMM estimator for dynamic panels with a state-space or local-smoothing framework that allows regression coefficients to drift over time. It handles endogeneity and lagged dependent variables while relaxing the assumption that structural relationships remain constant across all periods.	System GMM is a generalized method of moments estimator for dynamic panel models that contain a lagged dependent variable. Introduced by Blundell and Bond (1998), building on Arellano and Bover, it augments the differenced equation of the earlier difference GMM (Arellano-Bond) with the equation in levels to deliver consistent estimates when N is large and T is small.