手法を比較

	ベイジアン差分GMM	システムGMM（アレラーノ・ボバー / ブランドル・ボンド）
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	1991/2003	1998
提唱者	Arellano & Bond (1991) for Difference GMM; Chernozhukov & Hong (2003) for Bayesian GMM framework	Arellano & Bover (1995); Blundell & Bond (1998)
種類	Dynamic panel estimator (Bayesian)	Dynamic panel data estimator
原典	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.
別名	Bayesian Arellano-Bond estimator, Bayesian difference GMM, quasi-Bayesian difference GMM, Bayesian first-difference GMM	Arellano-Bover estimator, Blundell-Bond estimator, dynamic panel GMM, Sistem GMM (Arellano-Bover / Blundell-Bond)
関連	5	4
概要	Bayesian Difference GMM combines the Arellano-Bond first-differencing strategy for dynamic panel data with a Bayesian inference framework. By treating the GMM moment conditions as a quasi-likelihood and placing priors on parameters, the approach produces a full posterior distribution over coefficients rather than a single point estimate with asymptotic standard errors.	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.