방법 비교

	Robust Difference GMM	차분 GMM (아렐라노-본 추정량)
분야	계량경제학	계량경제학
계열	Regression model	Regression model
기원 연도	1991 / 2005	1991
창시자	Arellano & Bond (1991); robust inference extension via Windmeijer (2005)	Manuel Arellano and Stephen Bond
유형	GMM estimator with robust standard errors	GMM panel estimator
원전	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.
별칭	robust Arellano-Bond estimator, difference GMM with robust SE, HAC difference GMM, AB-GMM robust	Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator
관련	6	5
요약	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.	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.