手法を比較

	時間変動パラメータArellano-Bond 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	1990s-2000s	1991
提唱者	Extension of Arellano & Bond (1991); TVP generalisation developed in panel econometrics literature	Manuel Arellano and Stephen Bond
種類	Dynamic panel GMM with time-varying coefficients	GMM panel estimator
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.	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	TVP Arellano-Bond GMM, TVP-AB GMM, time-varying coefficient dynamic panel GMM, state-space Arellano-Bond estimator	Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator
関連	6	5
概要	The time-varying parameter Arellano-Bond GMM (TVP-AB GMM) is a dynamic panel estimator that extends the classic Arellano-Bond difference GMM framework by allowing regression coefficients to evolve over time. It addresses both individual fixed effects and the endogeneity of lagged dependent variables, while accommodating structural change and parameter instability across the sample period.	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.