手法を比較

	Bayesian System GMM	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	1998–2010	1991
提唱者	Blundell & Bond (System GMM, 1998); Bayesian integration via Chib and related MCMC literature	Manuel Arellano and Stephen Bond
種類	Bayesian dynamic panel estimator	GMM panel estimator
原典	Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143.	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 Sys-GMM, Bayesian BB estimator, Bayesian Blundell-Bond GMM, B-SGMM	Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator
関連	5	5
概要	Bayesian System GMM combines the Blundell-Bond System Generalized Method of Moments estimator for dynamic panel data with Bayesian prior distributions and posterior inference via MCMC. It handles endogeneity, individual fixed effects, and weak-instrument problems while incorporating prior knowledge and delivering full posterior uncertainty quantification — not just point estimates and asymptotic standard errors.	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.