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| アレラーノ・ボンド GMM 推定器× | 差分 GMM (Arellano-Bond 推定量)× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年 | 1991 | 1991 |
| 提唱者 | Manuel Arellano and Stephen Bond | Manuel Arellano and Stephen Bond |
| 種類≠ | GMM estimator for dynamic panel data | GMM panel estimator |
| 原典≠ | 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. DOI ↗ | 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. DOI ↗ |
| 別名 | AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator | Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator |
| 関連 | 5 | 5 |
| 概要≠ | 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. | Difference GMM, introduced by Arellano and Bond (1991), estimates dynamic panel data models by first-differencing the equation to remove fixed effects, then using lagged levels of the endogenous variables as GMM instruments. It is the standard approach when a lagged dependent variable or other endogenous regressors are present in a panel with many units and few time periods. |
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