手法を比較

	時間変化係数差分GMM (Time-Varying Parameter Difference 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	2000s–2010s	1991
提唱者	Extends Arellano & Bond (1991) difference GMM; TVP panel extensions developed in the 2000s–2010s literature	Manuel Arellano and Stephen Bond
種類	Dynamic panel estimator with time-varying parameters	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-DGMM, time-varying GMM, TVP difference GMM, dynamic panel TVP estimator	Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator
関連	3	5
概要	Time-varying parameter difference GMM combines the Arellano-Bond first-difference GMM estimator for dynamic panels with a state-space or local-smoothing framework that allows regression coefficients to drift over time. It handles endogeneity and lagged dependent variables while relaxing the assumption that structural relationships remain constant across all periods.	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.