手法を比較

	非線形差分 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	1991–2010	1991
提唱者	Wooldridge; building on Arellano and Bond (1991)	Manuel Arellano and Stephen Bond
種類	Nonlinear panel estimator	GMM panel estimator
原典	Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd ed.). MIT Press. ISBN: 9780262232586	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	nonlinear diff-GMM, nonlinear Arellano-Bond GMM, first-difference nonlinear GMM, NL-GMM	Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator
関連	5	5
概要	Nonlinear Difference GMM extends the Arellano-Bond difference GMM estimator to models where the structural relationship between the outcome and its predictors is inherently nonlinear. By first-differencing to eliminate individual fixed effects and then applying GMM moment conditions with lagged levels as instruments, it consistently estimates parameters in dynamic panel settings without requiring a linear functional form.	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.