השוואת שיטות

	אומד GMM של ארלנו-בונד לפנל	מודל אקראי של אומדן פאנל
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1991	1966
הוגה השיטה	Manuel Arellano and Stephen Bond	Balestra & Nerlove
סוג	Dynamic panel GMM estimator	Panel data estimator
מקור מכונן	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.	Balestra, P., & Nerlove, M. (1966). Pooling cross section and time series data in the estimation of a dynamic model: The demand for natural gas. Econometrica, 34(3), 585–612.
כינויים	Arellano-Bond GMM, AB-GMM, difference GMM estimator, dynamic panel GMM	random effects estimator, RE model, GLS random effects, error components model
קשורות	5	5
תקציר	The Arellano-Bond GMM estimator addresses the two core problems of dynamic panel models — individual fixed effects correlated with the regressors, and the endogeneity introduced by a lagged dependent variable — by first-differencing to remove fixed effects and then using lagged levels of the dependent variable as internal instruments.	The panel random effects (RE) model treats individual-specific effects as random draws from a population distribution rather than fixed constants, enabling efficient estimation by generalised least squares and allowing inference about time-invariant regressors that are swept away in fixed effects estimation.