Methoden vergelijken
Bekijk de geselecteerde methoden naast elkaar; rijen die verschillen zijn gemarkeerd.
| Robuuste Arellano-Bond GMM-schatter× | Arellano-Bond GMM-schatter voor panelen× | |
|---|---|---|
| Vakgebied | Econometrie | Econometrie |
| Familie | Regression model | Regression model |
| Jaar van ontstaan | 1991 | 1991 |
| Grondlegger≠ | Arellano & Bond (1991); robust inference extensions by Windmeijer (2005) | Manuel Arellano and Stephen Bond |
| Type≠ | Dynamic panel GMM estimator with robust inference | Dynamic panel GMM estimator |
| Oorspronkelijke bron≠ | 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. DOI ↗ | 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. DOI ↗ |
| Aliassen | Robust Difference GMM, AB-GMM with robust standard errors, Robust first-difference GMM, Arellano-Bond robust estimator | Arellano-Bond GMM, AB-GMM, difference GMM estimator, dynamic panel GMM |
| Verwant≠ | 6 | 5 |
| Samenvatting≠ | 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 addresses the two core problems of dynamic panel models — individual fixed effects correlated with the regressors, and the endogeneity introduced by a lagged dependent variable — by first-differencing to remove fixed effects and then using lagged levels of the dependent variable as internal instruments. |
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