手法を比較

	ロバスト差分 GMM	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 / 2005	1998
提唱者	Arellano & Bond (1991); robust inference extension via Windmeijer (2005)	Blundell & Bond (1998); Arellano & Bover (1995)
種類	GMM estimator with robust standard errors	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. The 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	robust Arellano-Bond estimator, difference GMM with robust SE, HAC difference GMM, AB-GMM robust	System GMM, Blundell-Bond estimator, SYS-GMM, two-step System GMM
関連	6	6
概要	Robust Difference GMM applies the Arellano-Bond first-difference GMM estimator with heteroscedasticity- and autocorrelation-consistent (HAC) or Windmeijer-corrected standard errors, delivering valid inference for dynamic panel models even when error variances are non-constant or residuals are cross-sectionally correlated.	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.