手法を比較

	アレラーノ・ボンド GMM 推定器	パネルシステムGMM（ブランドル・ボンド推定量）
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	1991	1998
提唱者	Manuel Arellano and Stephen Bond	Blundell & Bond (1998); Arellano & Bover (1995)
種類	GMM estimator for dynamic panel data	GMM estimator for dynamic panel data
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.	Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143.
別名	AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator	System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM
関連	5	6
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.	Panel System GMM is a two-equation GMM estimator for dynamic panel data that stacks the differenced equation (using lagged levels as instruments) with the levels equation (using lagged differences as instruments). Developed by Blundell and Bond (1998) on the foundation of Arellano and Bover (1995), it is the preferred tool when the lagged dependent variable is highly persistent or individual effects are large.