手法を比較

	Robust 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	1998–2005	1991
提唱者	Blundell & Bond (1998); robustness corrections by Windmeijer (2005)	Manuel Arellano and Stephen Bond
種類	Panel data GMM 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	system GMM with robust standard errors, two-step system GMM, Blundell-Bond robust estimator, robust S-GMM	Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator
関連	5	5
概要	Robust System GMM is a two-step panel data estimator that combines the difference and levels moment conditions of Blundell and Bond (1998) with Windmeijer's (2005) finite-sample correction to the two-step variance, producing valid inference even in short panels with a persistent dependent variable, individual fixed effects, and potentially endogenous regressors.	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.