Salīdzināt metodes

	Robustais Arellano-Bonda GMM novērtētājs	Arellano-Bond GMM novērtētājs
Nozare	Ekonometrija	Ekonometrija
Saime	Regression model	Regression model
Izcelsmes gads	1991	1991
Autors	Arellano & Bond (1991); robust inference extensions by Windmeijer (2005)	Manuel Arellano and Stephen Bond
Tips	Dynamic panel GMM estimator with robust inference	GMM estimator for dynamic panel data
Pirmavots	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.
Citi nosaukumi	Robust Difference GMM, AB-GMM with robust standard errors, Robust first-difference GMM, Arellano-Bond robust estimator	AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator
Saistītās	6	5
Kopsavilkums	The Robust Arellano-Bond GMM estimator applies the Arellano-Bond first-difference GMM approach to dynamic panel data while computing heteroscedasticity- and autocorrelation-consistent (robust) standard errors. This combination handles the Nickell bias from lagged dependent variables and simultaneously yields reliable inference when error variances differ across units or periods.	The Arellano-Bond GMM estimator is the standard approach for dynamic panel data models in which the lagged dependent variable appears as a regressor. By first-differencing to remove fixed effects and using deeper lags as instruments, it yields consistent estimates even when the error is serially correlated and regressors are endogenous.