手法を比較

	パネル・アレラーノ・ボンド GMM 推定器	アレラーノ・ボンド GMM 推定器
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	Dynamic panel GMM estimator	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.	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	Arellano-Bond GMM, AB-GMM, difference GMM estimator, dynamic panel GMM	AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator
関連	5	5
概要	The Arellano-Bond GMM estimator addresses the two core problems of dynamic panel models — individual fixed effects correlated with the regressors, and the endogeneity introduced by a lagged dependent variable — by first-differencing to remove fixed effects and then using lagged levels of the dependent variable as internal instruments.	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.