Robust Difference GMM
Robust Difference GMM menerapkan estimator GMM selisih pertama (first-difference GMM) Arellano-Bond dengan standar error yang konsisten terhadap heteroskedastisitas dan autokorelasi (HAC) atau yang terkoreksi Windmeijer, menghasilkan inferensi yang valid untuk model panel dinamis bahkan ketika varians galat tidak konstan atau residual berkorelasi lintas-seksional.
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Sumber
- 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. DOI: 10.2307/2297968 ↗
- Roodman, D. (2009). How to do xtabond2: An introduction to difference and system GMM in Stata. The Stata Journal, 9(1), 86-136. DOI: 10.1177/1536867X0900900106 ↗
Cara menyitasi halaman ini
ScholarGate. (2026, June 3). Robust Difference Generalized Method of Moments Estimator. ScholarGate. https://scholargate.app/id/econometrics/robust-difference-gmm
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Estimator Perbedaan GMM (Arellano-Bond)Ekonometrika↔ compare
- Model Data Panel DinamisEkonometrika↔ compare
- Estimator GMM Panel Arellano-BondEkonometrika↔ compare
- Model Efek Tetap PanelEkonometrika↔ compare
- Estimator Sistem GMM Panel (Estimator Blundell-Bond)Ekonometrika↔ compare
- Robust System GMMEkonometrika↔ compare
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